Analytical uses of Kalman filtering in econometrics — A survey (Q3777293)

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Analytical uses of Kalman filtering in econometrics — A survey
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    Analytical uses of Kalman filtering in econometrics — A survey (English)
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    1988
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    survey
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    Kalman filtering
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    generalization of exponential smoothing
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    time- dependent smoothing factor
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    recursive estimation
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    econometric models
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    state space formulation
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    time varying coefficients
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    EM-method
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    asymptotic estimation theory
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    maximum-likelihood estimation of state space parameters
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