全球智库信息集成服务系统(G2TT): A Note on Optimal Smoothing for Time Varying Coefficient Problems

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w0128
来源ID	Working Paper 0128
	A Note on Optimal Smoothing for Time Varying Coefficient Problems
	Thomas F. Cooley; Kent D. Wall
发表日期	1976-03-01
出版年	1976
语种	英语
摘要	An algorithm is presented which provides a complete solution to the optimal estimation problem for time-varying parameters when no proper prior distribution is specified. The key ideas involve a combination of the information-form Kalman filter with the two-filter interpretation of the optimal smoother. The algorithm produces efficient estimates of the parameter trajectories over the entire sample, arid is equally applicable when a proper prior distribution has been specified.
URL	https://www.nber.org/papers/w0128
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/557324
推荐引用方式 GB/T 7714	Thomas F. Cooley,Kent D. Wall. A Note on Optimal Smoothing for Time Varying Coefficient Problems. 1976.