A General Algorithm for Simultaneous Estimation of Constant and Randomly-Varying Parameters in Lineal Relations
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A recursive algorithm for estimating linear models with both constant and time-varying parameters is derived by maximization of a likelihood function. Recursive formulas are also derived for derivatives of the likelihood function; the derivatives are needed for numerical evaluation of some
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美国国家经济研究局创建时间：
1974-04-01
