A discounted convex combination of log-likelihood and expected log-likelihood yields exact linear recursions for filtering, prediction, and smoothing in canonical exponential family time series.
(2012).Large-Scale Inference: Empirical Bayes Methods for Estimation, Testing, and Prediction
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Exponentially weighted estimands and the exponential family: Filtering, prediction and smoothing
A discounted convex combination of log-likelihood and expected log-likelihood yields exact linear recursions for filtering, prediction, and smoothing in canonical exponential family time series.