Vidoni, Paolo - In: Studies in Nonlinear Dynamics & Econometrics 8 (2007) 2, pp. 1213-1213
State space models provide a useful stochastic description for dynamic phenomena, based on unobserved or latent variables. When the model rests on linear and Gaussian assumptions there exists a well-known iterative procedure, called the Kalman filter, which gives analytic updating recursion for...
