Time-varying parameters prediction

DOI10.1023/A:1004189000171MaRDI QIDQ1585874zbMATHOpenAlexFDO

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

extended Kalman filterrecursive least squarestime-varying parameter modelsConditional least squaresIBM stock price series

Mathematics Subject Classification ID

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

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