A low dimensional Kalman filter for systems with lagged states in the measurement equation

DOI10.1016/J.ECONLET.2014.12.016zbMath1321.62115OpenAlexW2037570646MaRDI QIDQ498814

Kristoffer P. Nimark

Publication date: 29 September 2015

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2014.12.016

zbMATH Keywords

Kalman filterKalman smootherlagged observablessimulation smoother

Mathematics Subject Classification ID

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

Related Items (2)

A note on low-dimensional Kalman smoothers for systems with lagged states in the measurement equation ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

Cites Work

• A FLEXIBLE STATE SPACE MODEL AND ITS APPLICATIONS
• A simple and efficient simulation smoother for state space time series analysis
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