Kalman Filter Modification for Identification Stochastic Economic Systems with Unobserved and Nonstationary Variables
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F03%3A00008078" target="_blank" >RIV/00216224:14560/03:00008078 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Kalman Filter Modification for Identification Stochastic Economic Systems with Unobserved and Nonstationary Variables
Original language description
The Iterative Kalman filter Smoother (IKFS) is the method for estimation of initial states and parameters of models in the state space form. This estimation procedure is described in the paper along with its basic properties. The above-mentioned application is an example how Iterative Kalman filter Smoother is employed to identify unobserved states and time-varying parameters of macroeconomic models simultaneously.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA402%2F02%2F0393" target="_blank" >GA402/02/0393: Effect of monetary policy and exogenous shocks on a small open economy</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2003
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
INTERNATIONAL CARPATHIAN CONTROL CONFERENCE-ICCC 2003
ISBN
80-7099-509-2
ISSN
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e-ISSN
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Number of pages
3
Pages from-to
417-420
Publisher name
TU Košice, BERG faculty Košice
Place of publication
Košice
Event location
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Event date
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Type of event by nationality
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UT code for WoS article
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