Current Search: Agiakloglou, Christos N. (x)
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Title
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KALMAN FILTER MODEL.
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Creator
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Agiakloglou, Christos N., Florida Atlantic University, Stronge, William B., College of Business, Department of Economics
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Abstract/Description
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This thesis demonstrates the theory and the application of the Kalman filter model, a model where the coefficients are not assumed to be constant over time but time-varying. This model is approached in two different ways. The first is the recursive approach and the second is the Mixed estimation approach. Both of these two approaches describe in different ways the original Kalman filter model. This thesis also contains an empirical application of the Kalman filter model, using real data from...
Show moreThis thesis demonstrates the theory and the application of the Kalman filter model, a model where the coefficients are not assumed to be constant over time but time-varying. This model is approached in two different ways. The first is the recursive approach and the second is the Mixed estimation approach. Both of these two approaches describe in different ways the original Kalman filter model. This thesis also contains an empirical application of the Kalman filter model, using real data from the Greek economy to estimate the Demand for Money.
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Date Issued
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1987
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PURL
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http://purl.flvc.org/fcla/dt/14372
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Subject Headings
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Kalman filtering, Estimation theory
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Format
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Document (PDF)
