Time-varying parameters prediction

DOI10.1023/A:1004189000171MaRDI QIDQ1585874zbMATH OpenOpenAlexFDO

Authors Carlo Grillenzoni

Publication date 8 January 2003

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1004189000171

zbMATH Keywords

Conditional least squaresextended Kalman filterIBM stock price seriesrecursive least squarestime-varying parameter models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)

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