Tena, Emilio Cerdá - Facultad de Ciencias Económicas y Empresariales, … - 1988
In this papel we obtain a generalization of the Kalman Filter for a kind of models in which the value of the vector variable in period t is explained linearly by the value it had in the previous period, by the pational expectations about the value that the variable y would take in period t, that...
