Winschel, Viktor; Krätzig, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
variances, allows for unbiased convergence diagnostics and for a simple implementation of the estimation on parallel computers … maximization
property of the algorithm, simplifles the choice of the innovation variances,
allows for unbiased convergence … estimates
the optimal variances on the run. It also allows an unbiased convergence di-
agnostics since the parallel sequences …