To explore the stability of the filter, consider a univariate (p = q = 1) state-space model, (2.1) and (2.2), without inputs. That is, for t = 1,2,..., the observations are Yt = X t +V t and the state...

To explore the stability of the filter, consider a univariate (p = q = 1) state-space model, (2.1) and (2.2), without inputs. That is, for t = 1,2,..., the observations are Yt = X_t
+V_t
and the state equation is X_t
= φX_t−1 +W_t
, where Q = R = 1 and |φ| <>