Share 'Understanding the Kalman Filter Application in Economic Time Series Data'
The Kalman filter has been extensively used in Science for various applications, from detecting missile targets to just any changing scenario that can be learned.
I'm trying to understand how Kalman Filter can be applied on Time Series data with Exogenous variables - in a nutshell, trying to replicate PROC UCM in excel.
State-space equation :
To those familiar with the Kalman filter, it essen…
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