The discrete Kalman filter applied to linear regression models: statistical considerations and an application

DOI10.1111/J.1467-9574.1978.TB01383.XMaRDI QIDQ4153498zbMATHOpenAlexWikidataFDO

Authors Pieter W. Otter

Publication date 1978

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9574.1978.tb01383.x

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Cited in

(1)

• Analytical uses of Kalman filtering in econometrics — A survey

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