Snyder, Ralph; Forbes, Catherine - In: Studies in Nonlinear Dynamics & Econometrics 7 (2007) 2, pp. 1087-1087
A Kalman filter for application to stationary or non-stationary time series is proposed. A major feature is a new initialisation method to accommodate non-stationary time series. The filter works on time series with missing values at any point of time including the initialisation phase. It can...
