A low dimensional Kalman filter for systems with lagged states in the measurement equation
Year of publication: |
2015
|
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Authors: | Nimark, Kristoffer P. |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 127.2015, p. 10-13
|
Subject: | Kalman filter | Lagged observables | Kalman smoother | Simulation smoother | Zustandsraummodell | State space model | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Lag-Modell | Lag model | Simulation |
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