Time-varying parameters prediction

DOI10.1023/A:1004189000171zbMath1064.62567OpenAlexW2015906000MaRDI QIDQ1585874

Carlo Grillenzoni

Publication date: 8 January 2003

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1004189000171

zbMATH Keywords

extended Kalman filterrecursive least squarestime-varying parameter modelsConditional least squaresIBM stock price series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Related Items (1)

Forecasting non-stationary time series by wavelet process modelling

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