The Kalman filter model under the assumption of the first-order autoregressive process in the disturbance terms

DOI10.1016/0165-1765(89)90188-2zbMath1378.62093OpenAlexW2024088662MaRDI QIDQ1676610

Hisashi Tanizaki

Publication date: 9 November 2017

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(89)90188-2

Mathematics Subject Classification ID

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

Uses Software

• astsa

Cites Work

• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Stochastic processes and filtering theory
• Unnamed Item

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