kalman filter

  1. L

    Proof of Kalman filter related lema

    Hi... Can you please provide a proof of the formula given on the attached image?
  2. G

    Time-Varying Coefficient Model

    I would like to estime a Time-Varying coefficient model, presented in Chow (1984). This model can be modeled in a state space representation using the Kalman Filter I regress the yield bond spread (Y_t) on several independent variables (X_t). The betas follow a random walk path...
  3. O

    Control Variable versus State Variable of kalman filter

    I have a disagreement with friend over if an observable that depend on lagged observable, should be essentially thrown out when doing Kalman filter, since the lagged observable are observed at time t and present no innovation. I have the following system...
  4. O

    Kalman filter

    Hi, I have a Kalman filter problem please. xt=u+z(1,t-1)+x(t-1)+d·[y(t-1)-x(t-1)]+e(x,t) yt=u+z(2,t-1)+y(t-1)-d·[y(t-1)-x(t-1)]+e(y,t) z1 and z2 are AR(1) processes z(1,t)=p1z(1,t-1)+e(1,t) z(2,t)=p2z(2,t-1)+e(2,t) The observations are xt and yt The state variables are z1 and z2...