TY  - BOOK
AU  - Cooley,Thomas F.
AU  - Wall,Kent D.
ED  - National Bureau of Economic Research.
TI  - A Note on Optimal Smoothing for Time Varying Coefficient Problems
T2  - NBER working paper series
PY  - 1976///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - March 1976; Hardcopy version available to institutional subscribers
N2  - 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
UR  - https://www.nber.org/papers/w0128
UR  - http://dx.doi.org/10.3386/w0128
ER  -