Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series

DOI10.2202/1558-3708.1087MaRDI QIDQ3368313zbMATH OpenOpenAlexFDO

Authors Catherine S. Forbes, Ralph D. Snyder

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2002/wp14-02.pdf

zbMATH Keywords

forecastingstate space modelsTime series analysisobject-oriented programming.

Mathematics Subject Classification ID

Economic time series analysis (91B84) Filtering in stochastic control theory (93E11)

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• The admissible parameter space for exponential smoothing models
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• Kalman filter estimation for a regression model with locally stationary errors
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