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A modification of the self-perturbed Kalman filter of Park and Jun (1992) is proposed for the on-line estimation of models subject to parameter instability. The perturbation term in the updating equation of the state covariance matrix is weighted by the measurement error variance, thus avoiding...
Persistent link: https://www.econbiz.de/10010456954
Persistent link: https://www.econbiz.de/10010339076
A modification of the self-perturbed Kalman filter of Park and Jun (1992) is proposed for the on-line estimation of models subject to parameter in stability. The perturbation term in the updating equation of the state covariance matrix is weighted by the measurement error variance, thus avoiding...
Persistent link: https://www.econbiz.de/10010402289
Persistent link: https://www.econbiz.de/10011689787
A modification of the self-perturbed Kalman filter of Park and Jun (1992) is proposed for the on-line estimation of models subject to parameter instability. The perturbationterm in the updating equation of the state covariance matrix is weighted by the measurement error variance, thus avoiding...
Persistent link: https://www.econbiz.de/10010851262
A modification of the self-perturbed Kalman filter of Park and Jun (1992) is proposed for the on-line estimation of models subject to parameter instability. The perturbation term in the updating equation of the state covariance matrix is weighted by the measurement error variance, thus avoiding...
Persistent link: https://www.econbiz.de/10010859431