Informace o publikaci
Kalman Filter Modification for Identification Stochastic Economic Systems with Unobserved and Nonstationary Variables
| Autoři | |
|---|---|
| Rok publikování | 2003 |
| Druh | Článek ve sborníku |
| Konference | INTERNATIONAL CARPATHIAN CONTROL CONFERENCE-ICCC 2003 |
| Fakulta / Pracoviště MU | |
| Citace | |
| Obor | Ekonomie |
| Klíčová slova | Iterative Extended Kalman filter; Potential Product; Non-Accelerating Inflation Rate of Uneymployment |
| Popis | The Iterative Kalman filter Smoother (IKFS) is the method for estimation of initial states and parameters of models in the state space form. This estimation procedure is described in the paper along with its basic properties. The above-mentioned application is an example how Iterative Kalman filter Smoother is employed to identify unobserved states and time-varying parameters of macroeconomic models simultaneously. |
| Související projekty: |