A Note on Optimal Smoothing for Time Varying Coefficient Problems
收藏NBER1976-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w0128
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资源简介：
An algorithm is presented which provides a complete solution to the optimal estimation problem for time-varying parameters when no proper prior distribution is specified. The key ideas involve a combination of the information-form Kalman filter with the two-filter interpretation of the optimal
提供机构：
美国国家经济研究局
创建时间：
1976-03-01
