A note on exact correspondences between adaptive learning algorithms and the Kalman filter

DOI10.1016/J.ECONLET.2012.10.002MaRDI QIDQ2444179zbMATH OpenOpenAlexFDO

Authors Michele Berardi, Jaqueson K. Galimberti

Publication date 8 April 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://hummedia.manchester.ac.uk/schools/soss/cgbcr/discussionpapers/dpcgbcr170.pdf

zbMATH Keywords

adaptive learningKalman filterleast squaresstochastic gradient

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Rationality and learning in game theory (91A26)

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Cited in

(3)

• On the initialization of adaptive learning in macroeconomic models
• An approximation of the distribution of learning estimates in macroeconomic models
• Learning under signal-to-noise ratio uncertainty

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