Ravazzolo, Francesco (contributor); … - 2007
when a new observation becomes available.
Scheme 5: Time varying weights
When the conditional distribution of (yT+1;byT+1 …
interpreted as a state space model, where (12) is the measurement equation which defines the
distribution of yt, and where (13) is … the state equation which defines the distribution of the
weights for every t. The Kalman filter algorithm can be applied …