i

RMSEs for SV with sparse grid integration

RMSEs for extended Kalman filter

Filtering,

h_t|t

Smoothing,

h_t|T

Prediction,

h_t+1|t

Filtering,

h_t|t

Smoothing,

h_t|T

Prediction,

h_t+1|t

h_i

1

2.576

2.436

2.660

2.711

2.652

2.754

2

2.583

2.442

2.687

2.691

2.644

2.751