A note on exact correspondences between adaptive learning algorithms and the Kalman filter

We extend the correspondences between adaptive learning algorithms and the Kalman filter to formulations with time-varying gains. Our correspondences hold exactly, in a computational implementation sense, and we discuss how they relate to previous approximate correspondences found in the literature.

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Year of publication:	2013
Authors:	Berardi, Michele ; Galimberti, Jaqueson K.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 118.2013, 1, p. 139-142
Publisher:	Elsevier
Subject:	Adaptive learning \| Least squares \| Stochastic gradient \| Kalman filter

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Type of publication:	Article
Classification:	C32 - Time-Series Models ; C63 - Computational Techniques ; D83 - Search, Learning, Information and Knowledge ; D84 - Expectations; Speculations
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010603107