Time-varying parameters prediction

Annals of the Institute of Statistical Mathematics

Volumn 52, Issue 1, 2000, Pages 108-122

  Grillenzoni, Carlo ^a  

^a UNIVERSITY IUAV OF VENICE   (Italy)

Author keywords

Conditional least squares; Extended Kalman filter; IBM stock price series; Recursive least squares; Time varying parameter models

Indexed keywords

EID: 6744236269     PISSN: 00203157     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1004189000171     Document Type: Article

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