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i'm looking for on how to calculate the following ICs: smoothing, on-line filter and prediction on state space models.

I'm not able to find any formula about them or any matlab command/class.

Thanks.

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  • $\begingroup$ Assuming you are talking about linear-Gaussian SSMs, the Kalman smoother and Kalman filter give you distributions, and from those you can calculate intervals $\endgroup$ – Taylor May 25 at 18:25

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