Revisiting the Two-Filter Formula for Smoothing for State-Space Models

07/07/2023

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by   G. Kitagawa, et al.

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Smoothing algorithms for state-space models, i.e., fixed-interval smoothing, fixed-lag smoothing, and two-filter formula for smoothing, are examined using real examples. For linear and Gaussian state-space models, it is observed that similar posterior distributions can be obtained by properly defining the inverse filter. In the case of linear non-Gaussian state-space models, it is shown that Gaussian-sum smoothing is possible even for relatively high dimensional state-space model with Gaussian-mixture noise inputs by properly setting the inverse filter. The two-filter formula is also applicable for particle filter, but better results are obtained with fixed lag smoothing or with the average of forward and backward fixed lag smoothers.