A Note on Optimal Smoothing for Time Varying Coefficient Problems /
Cooley, Thomas F.
A Note on Optimal Smoothing for Time Varying Coefficient Problems / Thomas F. Cooley, Kent D. Wall. - Cambridge, Mass. National Bureau of Economic Research 1976. - 1 online resource: illustrations (black and white); - NBER working paper series no. w0128 . - Working Paper Series (National Bureau of Economic Research) no. w0128. .
March 1976.
An algorithm is presented which provides a complete solution to the optimal estimation problem for time-varying parameters when no proper prior distribution is specified. The key ideas involve a combination of the information-form Kalman filter with the two-filter interpretation of the optimal smoother. The algorithm produces efficient estimates of the parameter trajectories over the entire sample, arid is equally applicable when a proper prior distribution has been specified.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.
A Note on Optimal Smoothing for Time Varying Coefficient Problems / Thomas F. Cooley, Kent D. Wall. - Cambridge, Mass. National Bureau of Economic Research 1976. - 1 online resource: illustrations (black and white); - NBER working paper series no. w0128 . - Working Paper Series (National Bureau of Economic Research) no. w0128. .
March 1976.
An algorithm is presented which provides a complete solution to the optimal estimation problem for time-varying parameters when no proper prior distribution is specified. The key ideas involve a combination of the information-form Kalman filter with the two-filter interpretation of the optimal smoother. The algorithm produces efficient estimates of the parameter trajectories over the entire sample, arid is equally applicable when a proper prior distribution has been specified.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.