Time-varying parameters prediction
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Publication:1585874
DOI10.1023/A:1004189000171zbMath1064.62567MaRDI QIDQ1585874
Publication date: 8 January 2003
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
extended Kalman filter; recursive least squares; time-varying parameter models; Conditional least squares; IBM stock price series
62P20: Applications of statistics to economics
62M20: Inference from stochastic processes and prediction
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