Add to ORKGThe estimation of models with time-varying coefficients is usually per-formed byKalman-Bucy filtering. The two-sided filter proposed by Schlicht (1988) is statistically and computationally superior to the one-sidedKalman-Bucy filter. This paper describes the estimation procedure and the program package that implements the two-sided filter
We study the problem of estimating time-varying coefficients in ordinary differential equations. Cur...
An algorithm is presented which provides a complete solution to the optimal estimation problem for t...
AbstractOne of the advantages for the varying-coefficient model is to allow the coefficients to vary...
The estimation of models with time-varying coefficients is usually per-formed byKalman-Bucy filterin...
The estimation of models with time-varying coefficients is usually performed by Kalman-Bucy filterin...
The estimation of models with time-varying coefficients is usually performed by Kalman-Bucy filterin...
VC implements Schlicht's method for estimating a linear regression with time-varying coefficients. T...
This paper describes a moments estimator for a standard state-space model with coefficients generate...
Varying-coefficient models are a useful extension of the classical linear models. The appeal of thes...
Very preliminary draft: comments welcome, please do not quote without permission of authors. We prop...
This paper provides a new algorithm for estimating state space dynamic models and, as an example, it...
This note gives a statistical description of the Hodrick-Prescott Filter (1997), originally proposed...
We study the problem of estimating time-varying coefficients in ordinary differential equations. Cur...
An algorithm is presented which provides a complete solution to the optimal estimation problem for t...
AbstractOne of the advantages for the varying-coefficient model is to allow the coefficients to vary...
The estimation of models with time-varying coefficients is usually per-formed byKalman-Bucy filterin...
The estimation of models with time-varying coefficients is usually performed by Kalman-Bucy filterin...
The estimation of models with time-varying coefficients is usually performed by Kalman-Bucy filterin...
VC implements Schlicht's method for estimating a linear regression with time-varying coefficients. T...
This paper describes a moments estimator for a standard state-space model with coefficients generate...
Varying-coefficient models are a useful extension of the classical linear models. The appeal of thes...
Very preliminary draft: comments welcome, please do not quote without permission of authors. We prop...
This paper provides a new algorithm for estimating state space dynamic models and, as an example, it...
This note gives a statistical description of the Hodrick-Prescott Filter (1997), originally proposed...
We study the problem of estimating time-varying coefficients in ordinary differential equations. Cur...
An algorithm is presented which provides a complete solution to the optimal estimation problem for t...
AbstractOne of the advantages for the varying-coefficient model is to allow the coefficients to vary...