Analytical uses of Kalman filtering in econometrics — A survey (Q3777293)
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scientific article; zbMATH DE number 4039093
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| English | Analytical uses of Kalman filtering in econometrics — A survey |
scientific article; zbMATH DE number 4039093 |
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Analytical uses of Kalman filtering in econometrics — A survey (English)
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1988
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survey
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Kalman filtering
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generalization of exponential smoothing
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time- dependent smoothing factor
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recursive estimation
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econometric models
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state space formulation
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time varying coefficients
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EM-method
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asymptotic estimation theory
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maximum-likelihood estimation of state space parameters
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0.88460505
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0.8776623
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0.8588239
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0.8586817
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