Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Bayesian optimal filtering in dynamic linear models: an empirical study of economic time series data
This paper reviews a recursive Bayesian methodology for optimal data cleaning and filtering of economic time series data with the aim of using the Kalman filter to estimate the parameters of a specified state space model which describes an economic phenomena under study. The Kalman filter, being a r...
Saved in:
| Format: | Article |
|---|---|
| Published: |
2015
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|