In this paper we present an extensive study of annual GNP data for five European countries. We look for intercountry dependence and analyse how the different economies interact, using several univariate ARIMA and unobserved components models and a multivariate model for the GNP incorporating all...

The paper considers how the Kalman filter has influenced the development of recursive parameter estimation since the publication of Rudolf Kalman's seminal article in 1960. It will present a partial review of developments over the past half century and provide a tutorial introduction to the...

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