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A Note on Optimal Smoothing for Time Varying Coefficient Problems / Thomas F. Cooley, Kent D. Wall.
- Format:
- Book
- Author/Creator:
- Cooley, Thomas F.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w0128.
- NBER working paper series no. w0128
- Language:
- English
- Subjects (All):
- Algorithms--Study and teaching.
- Algorithms.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1976.
- Cambridge, Mass. : National Bureau of Economic Research, 1976.
- Summary:
- 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.
- Notes:
- Print version record
- March 1976.
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