A Simplified Approach to Understanding the Kalman Filter Technique-Reference-Cited by-同舟云学术

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A Simplified Approach to Understanding the Kalman Filter Technique

Published:2008-05-27 Issue:2 Volume:53 Page:140-155
ISSN:0013-791X
Container-title:The Engineering Economist
language:en
Short-container-title:The Engineering Economist

Author:

Arnold Tom¹,Bertus Mark J.²,Godbey Jonathan³

Affiliation:

1. a The Robins School of Business, Department of Finance , University of Richmond , Richmond , Virginia , USA

2. b Department of Finance, Lowder Business Building , Auburn University , Auburn , Alabama , USA

3. c Department of Finance, J. Mack Robinson College of Business , Georgia State University , Atlanta , Georgia , USA

Publisher

Informa UK Limited

Subject

Economics and Econometrics,General Engineering,Education

Link

https://www.tandfonline.com/doi/pdf/10.1080/00137910802058574

Reference13 articles.

1. Introduction to Time Series and Forecasting

2. Kalman filtering estimation of unobserved rational expectations with an application to the German hyperinflation

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3. Filter selection for countercyclical capital buffers;South African Journal of Economic and Management Sciences;2018-04-12

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5. Attribution of hedge fund returns using a Kalman filter;Applied Economics;2017-07-10

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