A note on exact correspondences between adaptive learning algorithms and the Kalman filter

DOI10.1016/J.ECONLET.2012.10.002zbMath1284.91058OpenAlexW2110214146MaRDI QIDQ2444179

Michele Berardi, Jaqueson K. Galimberti

Publication date: 8 April 2014

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

Full work available at URL: http://hummedia.manchester.ac.uk/schools/soss/cgbcr/discussionpapers/dpcgbcr170.pdf

zbMATH Keywords

adaptive learningKalman filterleast squaresstochastic gradient

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Rationality and learning in game theory (91A26)

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