A Note on Optimal Smoothing for Time Varying Coefficient Problems / Thomas F. Cooley, Kent D. Wall.

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Cooley, Thomas F

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Material type: Text

TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w0128.Publication details: Cambridge, Mass. National Bureau of Economic Research 1976.Description: 1 online resource: illustrations (black and white)Online resources:

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Abstract: 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.

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Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
Working Paper	Biblioteca Digital	Colección NBER	nber w0128 (Browse shelf(Opens below))	Not For Loan

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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.