Recursive estimation in econometrics
نویسنده
چکیده
An account is given of recursive regression and Kalman filtering that gathers the important results and the ideas that lie behind them. It emphasises areas where econometricians have made contributions, including methods for handling the initial-value problem associated with nonstationary processes and algorithms for fixed-interval smoothing.
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ورودعنوان ژورنال:
- Computational Statistics & Data Analysis
دوره 44 شماره
صفحات -
تاریخ انتشار 2003