Search Results

A low dimensional Kalman filter for systems with lagged states in the measurement equation,
Kristoffer Nimark, in Economics Letters (2015)
Keywords: Kalman filter; Lagged observables; Kalman smoother; Simulation smoother;

Estimating the state vector of linearized DSGE models without the Kalman filter,
Robert Kollmann, in Economics Letters (2013)
Keywords: DSGE models; Kalman filter; Smoothing;

Estimating the State Vector of Linearized DSGE Models without the Kalman Filter,
Robert Kollmann, from ULB -- Universite Libre de Bruxelles (2013)
Keywords: DSGE Models; Kalman Filter; smoothing

A simple proof for the Kalman-Bucy smoothed estimate formula,
Marek Rutkowski, in Statistics & Probability Letters (1993)
Keywords: Optimal filtering optimal smoothing KalmanBucy filter

Modeling and Smoothing Unequally Spaced Sequence Data,
Piet Jong and Sonia Mazzi, in Statistical Inference for Stochastic Processes (2001)
Keywords: Kalman filter, Splines, Smoothing, State space model,

Estimating a Dynamic Factor Model in EViews Using the Kalman Filter and Smoother,
Martin Solberger and Erik Spånberg, in Computational Economics (2020)
Keywords: Dynamic factor model, State space, Kalman filter, EViews

Real-Time State Space Method for Computing Smoothed Estimates of Future Revisions of U.S. Monthly Chained CPI,
Peter Zadrozny, from CESifo (2016)
Keywords: Kalman smoother estimation of delayed and revised data

Exchange Rate Smoothing in Hungary,
Peter Karadi, from Magyar Nemzeti Bank (Central Bank of Hungary) (2005)
Keywords: exchange rate smoothing, interest rate rules, Kalman filter

On Filtering and Smoothing Algorithms for Linear State-Space Models Having Quantized Output Data,
Angel L. Cedeño, Rodrigo A. González, Boris I. Godoy, Rodrigo Carvajal and Juan C. Agüero, in Mathematics (2023)
Keywords: extended Kalman filter/smoother; unscented Kalman filter/smoother; Gaussian sum filter/smoother; particle filter/smoother; state estimation; quantized data

A Quadratic Kalman Filter,
Alain Monfort, Jean-Paul Renne and Guillaume Roussellet, in Journal of Econometrics (2015)
Keywords: Non-linear filtering; Non-linear smoothing; Quadratic model; Kalman filter; Quasi maximum likelihood;

A Quadratic Kalman Filter,
Alain Monfort, Jean-Paul Renne and Guillaume Roussellet, from Banque de France (2014)
Keywords: non-linear filtering, non-linear smoothing, quadratic model, Kalman filter, pseudo-maximum likelihood.

Random switching exponential smoothing: A new estimation approach,
Giacomo Sbrana and Andrea Silvestrini, in International Journal of Production Economics (2019)
Keywords: Random switching exponential smoothing; Likelihood evaluation; Kalman gain; Forecasting;

Determinants of consumption smoothing,
Gert Peersman and L. Pozzi, from Ghent University, Faculty of Economics and Business Administration (2004)
Keywords: Private consumption, liquidity constraints, consumption smoothing, excess sensitivity, Kalman filter, state-space models.

A Pedant's Approach to Exponential Smoothing,
Ralph Snyder, from Monash University, Department of Econometrics and Business Statistics (2005)
Keywords: Time Series Analysis, Prediction, Exponential Smoothing, ARIMA Models, Kalman Filter, State Space Models

A flexible state-space model with lagged states and lagged dependent variables: Simulation smoothing,
Philipp Hauber, Christian Schumacher and Jiachun Zhang, from Deutsche Bundesbank (2019)
Keywords: state-space model, missing observations, Kalman filter and smoother, simulation smoothing, factor model

Adaptive Double Kalman Filter Method for Smoothing Wind Power in Multi-Type Energy Storage System,
Lei Qin, Na Sun and Haiying Dong, in Energies (2023)
Keywords: wind storage power generation system; hybrid energy storage; management of SOC; Kalman filtering; the stabilization of fluctuations

Tax Smoothing Hypothesis: A Turkish Case,
Taner Turan, Mesut Karakas and Halit Yanıkkaya, in Panoeconomicus (2014)
Keywords: Tax smoothing hypothesis, Random walk, Co-integration, Beveridge-Nelson decomposition, Kalman filter

Fast Filtering and Smoothing for Multivariate State Space Models,
Siem Jan Koopman and James Durbin, from Tilburg University, Center for Economic Research (1998)
Keywords: Diffuse initialisation; Kalman filter; multivariate models; smoothing; state space; time series

Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter,
Catherine Forbes, Gael Martin and Jill Wright, from Monash University, Department of Econometrics and Business Statistics (2003)
Keywords: Option Pricing; Volatility Risk; Markov Chain Monte Carlo; Nonlinear State Space Model; Kalman Filter and Smoother.

Generalization of the Kalman Filter for a kind of rational expectations models,
Emilio Cerdá Tena, from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales (1988)
Keywords: Kalman Filter.

Repeated surveys and the Kalman filter,
Jo Lind, from Oslo University, Department of Economics (2004)
Keywords: Surveys; Kalman filter; time series

A parallel Kalman filter via the square root Kalman filtering,
Rosario Romera and Tomas Cipra, from Universidad Carlos III de Madrid. Departamento de Estadística (1993)
Keywords: Parallel robust Kalman filter

Extended Rauch–Tung–Striebel Smoother for the State of Charge Estimation of Lithium-Ion Batteries Based on an Enhanced Circuit Model,
Yinfeng Jiang, Wenxiang Song, Hao Zhu, Yun Zhu, Yongzhi Du and Huichun Yin, in Energies (2022)
Keywords: state of charge; lithium-ion battery; extended Kalman filter; extended Rauch–Tung–Striebel smoother; equivalent circuit model; parameter identification

Kalman recursions Aggregated Online,
Eric Adjakossa, Yannig Goude and Olivier Wintenberger, in Statistical Papers (2024)
Keywords: Online aggregation, Kalman filter, Experts ensemble

An Application of the Kalman Filter for Market Studies,
Buºu Mihail and Cioacã Sorin, in Ovidius University Annals, Economic Sciences Series (2013)
Keywords: filter; kalman; signal; system; application

Small continuous surveys and the Kalman filter,
Jo Lind, from Statistics Norway, Research Department (2002)
Keywords: Surveys; Kalman filter; time series.

Employing Extended Kalman Filter in a Simple Macroeconomic Model,
Levent Ozbek, Umit Ozlale and Fikri Ozturk, in Central Bank Review (2003)
Keywords: Extended Kalman Filter

A Sparse Kalman Filter: A Non-Recursive Approach,
Michal Andrle and Jan Bruha, from Czech National Bank (2023)
Keywords: Kalman filter, regularization, sparsity

Square root kalman filter with contaminated observations,
Tomas Cipra, Rosario Romera and A. Rubio, from Universidad Carlos III de Madrid. Departamento de Economía (1992)
Keywords: Square root Kalman filter

The Ensemble Kalman Filter in Bioeconomics,
Sturla F. Kvamsdal and Leif Sandal, from Norwegian School of Economics, Department of Business and Management Science (2012)
Keywords: Ensemble Kalman Filter; Ecosystem Management; Bioeconomics; Aggregated Biomass Models

The Endogenous Kalman Filter,
Brad Baxter, Liam Graham and Stephen Wright, from Birkbeck, Department of Economics, Mathematics & Statistics (2007)
Keywords: Dynamic general equilibrium, Kalman filter, imperfect information, signal extraction

INCOME SMOOTHING,
Rm Copeland, in Journal of Accounting Research (1968)
Keywords: Income smoothing, Dividend income

THE KALMAN FILTER IN THE EVENT-STUDY METHODOLOGY,
Gerardo Dubcovsky and Francisco Venegas-Martínez, in Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance) (2003)
Keywords: Event studies, Kalman filtering, Information theory

Time-Varying Cointegration and the Kalman Filter,
Burak Eroglu, J. Miller and Taner Yigit, from Department of Economics, University of Missouri (2019)
Keywords: : time-varying cointegration, Kalman filter, spurious regression

Implementation and Performance Analysis of Kalman Filters with Consistency Validation,
Dah-Jing Jwo and Amita Biswal, in Mathematics (2023)
Keywords: discrete Kalman filter; continuous Kalman filter; consistency; theoretical; stochastic process

A Regularized Kalman Filter (rgKF) for Spiky Data,
Serge Darolles, Patrick Duvaut and Emmanuelle Jay, from HAL (2013)
Keywords: regularized Kalman filter (rgKF),robust Kalman filter (RKF),spiky data

Four econometric fashions and the Kalman filter alternative: A simulation study,
Eduard Bomhoff, from Tilburg University, Center for Economic Research (1992)
Keywords: Kalman Filter; Time Series

Consumption smoothing and liquidity income redistribution,
Giuseppe Bertola and Winfried Koeniger, from Center for Financial Studies (CFS) (2006)
Keywords: Consumption, Smoothing

Modeling Mindsets with Kalman Filter,
Takashi Yamauchi, in Mathematics (2018)
Keywords: Kalman filter; target selection; mindsets; mathematical model; mouse-cursor motion trajectory

Mixture ensemble Kalman filters,
Marco Frei and Hans R. Künsch, in Computational Statistics & Data Analysis (2013)
Keywords: Nonlinear filtering; Data assimilation; Ensemble Kalman filter; Fuzzy clustering; Gaussian mixtures;

Kalman Filter and its Economic Applications,
Gurnain Pasricha, from University Library of Munich, Germany (2006)
Keywords: Kalman Filter; Time-varying Parameters; Stochastic Volatility; Markov Switching

Extended fractional singular kalman filter,
Komeil Nosrati, Juri Belikov, Aleksei Tepljakov and Eduard Petlenkov, in Applied Mathematics and Computation (2023)
Keywords: Fractional calculus; Singular systems; Kalman filter; Nonlinear dynamics; Chaos synchronization;

Ensemble Kalman inversion for general likelihoods,
Samuel Duffield and Sumeetpal S. Singh, in Statistics & Probability Letters (2022)
Keywords: Ensemble Kalman inversion; Approximate Bayesian computation; Bayesian inference; Intractable likelihoods;

Volatility extraction using the Kalman filter,
Alexandr Kuchynka, from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies (2008)
Keywords: volatility, stochastic volatility models, Kalman filter, volatility proxy

The Efficiency of the Kalman Filter in Nodal Redundancy,
Henrry Moyano and Luis Vargas, in Energies (2024)
Keywords: Bayesian filter; Kalman filter; partition; redundancy; nodal grouping

Kalman filter with outliers and missing observations,
T. Cipra and R. Romera, in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research (1997)
Keywords: Kalman filter, outliers, missing observations, time series analysis, 93E20, 62F35,

Smoothing signals for semimartingales,
A. Thavaneswaran, in Stochastic Processes and their Applications (1988)
Keywords: convolution-smoothing kernel functions semimartingales signals smoothing

Perturbations and projections of Kalman–Bucy semigroups,
Adrian N. Bishop, Pierre Del Moral and Sahani D. Pathiraja, in Stochastic Processes and their Applications (2018)
Keywords: Data assimilation; Ensemble Kalman filters; Inflation models; Kalman–Bucy semigroups; Localisation models; Riccati equations; Sample covariance regularisation;

The need for a revised lower limit for the 4253H, Twice nonparametric smoother,
J. E. Janosky, T. R. Pellitieri and Q. M. Al-Shboul, in Statistics & Probability Letters (1997)
Keywords: Nonparametric smoothing 4253H,Twice smoother

Company Expectations and New Information: An Application of Kalman Filtering,
Colin Mayer and Matthias Mors, from C.E.P.R. Discussion Papers (1985)
Keywords: Company Expectations; Kalman Filter; Learning; Survey Data

Application of teh Kalman Filter to Interest Rate Modelling,
Oyakhilome Ibhagui, from University Library of Munich, Germany (2010)
Keywords: Interest Rate Modelling, Kalman Filtering, Vasicek Model

Gauss, Kalman and advances in recursive parameter estimation,
Peter C. Young, in Journal of Forecasting (2011)
Keywords: Kalman filter , recursive parameter estimation , adaptive forecasting ,

SUBSTANTIATION OF THE PUBLIC DEBT SUSTAINABILITY USING KALMAN FILTER,
Bolos Marcel, Otgon Cristian and Pop Razvan, in Annals of Faculty of Economics (2011)
Keywords: Kalman filter, debt, sustainability, deficit, prediction

Noise Reduced Realized Volatility: A Kalman Filter Approach,
John Owens and Douglas Steigerwald, from Department of Economics, UC Santa Barbara (2009)
Keywords: Realized Volatility, Microstructure Noise, Kalman Filter

Conditional forecasts on SVAR models using the Kalman filter,
Gonzalo Camba-Mendez, in Economics Letters (2012)
Keywords: Conditional forecasting; Vector autoregression; Kalman filter;

Kalman filtering as a performance monitoring technique for a propensity scorecard,
K Bijak, in Journal of the Operational Research Society (2011)
Keywords: propensity scorecard, scorecard monitoring, kalman filtering, bootstrap

Measuring productivity and efficiency: a Kalman filter approach,
Meryem Duygun, Levent Kutlu and Robin Sickles, in Journal of Productivity Analysis (2016)
Keywords: Kalman filter, Panel data, Airline productivity

Kalman Filter Estimation of the Unrecorded Economy in Macedonia,
Branimir Jovanovic, from National Bank of the Republic of North Macedonia (2015)
Keywords: unrecorded economy, unrecorded employment, Kalman filter, Macedonia

Mixtures of skewed Kalman filters,
Hyoung-Moon Kim, Duchwan Ryu, Bani K. Mallick and Marc G. Genton, in Journal of Multivariate Analysis (2014)
Keywords: Closed skew-normal distribution; Discrete mixture; Kalman filter; Scale mixtures; Sequential importance sampling; Closed skew-t distribution;

The Kriged Kalman filter,
Kanti Mardia, Colin Goodall, Edwin Redfern and Francisco Alonso, in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research (1998)
Keywords: Bending energy, EM algorithm, Kalman filter, Karahunen-Loeve expansions, Kriging, pollution, spatial temporal modelling, state-space model, 62M10, 62M30, 62M99,

A kalman filter model for single and two-stage repeated surveys,
Josemar Rodrigues and Heleno Bolfarine, in Statistics & Probability Letters (1987)
Keywords: Kalman predictor population mean Kalman filter model change in mean

Simple and extended Kalman filters: an application to term structures of commodity prices,
Delphine Lautier, from HAL (2004)
Keywords: commodity futures prices,extended Kalman filter,term structure,Kalman filter

Updated Prediction of Air Quality Based on Kalman-Attention-LSTM Network,
Hao Zhou, Tao Wang, Hongchao Zhao and Zicheng Wang, in Sustainability (2022)
Keywords: second prediction; AQI; Kalman filter; Kalman-attention-LSTM

Smooth Consumption Externalities,
Hervé Crès, from HAL (1992)
Keywords: Smooth,Consumption,Externalities

Symmetric Smooth Consumption Externalities,
Hervé Crès, from HAL (1996)
Keywords: Symmetric Smooth,Consumption

Symmetric Smooth Consumption Externalities,
Hervé Crès, from HAL (1996)
Keywords: Symmetric Smooth,Consumption

INCOME SMOOTHING - DISCUSSION,
Hw Kirchheimer, in Journal of Accounting Research (1968)
Keywords: Income smoothing, Dividend income

On a Class of Smooth Preferences,
Andrea Attar, Thomas Mariotti and François Salanié, from Toulouse School of Economics (TSE) (2017)
Keywords: Smooth Preferences; Nonmonotonicity

Remittances and Income Smoothing,
Catalina Amuedo-Dorantes and Susan Pozo, from Institute of Labor Economics (IZA) (2011)
Keywords: income smoothing, remittances

Mortgage Refinancing and Consumption Smoothing,
Viola Angelini, from Department of Economics, University of York (2006)
Keywords: mortgages, refinancing,consumption smoothing

Remittances and Income Smoothing,
Catalina Amuedo-Dorantes and Susan Pozo, from Rockwool Foundation Berlin (RF Berlin) - Centre for Research and Analysis of Migration (CReAM) (2011)
Keywords: remittances, income smoothing

People Smooth Their Consumption. Shouldn’t Nations, Too?,
Paulina Restrepo-Echavarria and Mark Wright, from Federal Reserve Bank of St. Louis (2021)
Keywords: consumption smoothing

Estimating Monthly GDP In A General Kalman Filter Framework: Evidence From Switzerland,
Nicolas Cuche-Curti and Martin K. Hess, from Swiss National Bank, Study Center Gerzensee (1999)
Keywords: Interpolation, Kalman filter, National accounting.

Kalman filter observation error model applied to vehicle tracking dynamic obstacle correction,
S. M. Siao, Y. R. Chen and L. Y. Shu, in Journal of Advances in Technology and Engineering Research (2019)
Keywords: ADAS; Kalman filter; Radar

APPLICATION OF THE KALMAN FILTER FOR ESTIMATING CONTINUOUS TIME TERM STRUCTURE MODELS: EVIDENCE FROM THE UK AND GERMANY,
Rana Chatterjee, from Society for Computational Economics (2004)
Keywords: Kalman filtering, term structure

NOTE ON INCOME SMOOTHING IN CHEMICAL INDUSTRY,
Pe Dascher and Re Malcom, in Journal of Accounting Research (1970)
Keywords: Income smoothing, Chemical industry, Real smoothing, Artificial smoothing

Estimation of Poorly-Measured Service-Industry Output,
Baoline Chen, from Society for Computational Economics (2001)
Keywords: Kalman smoother estimation of unobserved variables

Nonlinear Kalman filtering for censored observations,
Joseph Arthur, Adam Attarian, Franz Hamilton and Hien Tran, in Applied Mathematics and Computation (2018)
Keywords: Extended Kalman filter; Censored observation; Parameter estimation; Hepatitis C virus (HCV); Human immunodeficiency virus (HIV);

State-Space Models and the Kalman Filter,
Klaus Neusser, from Springer (2016)
Keywords: Kalman Filter, State Space Model, Observation Equation, Cyclical Component, Seasonal Component

CDS Options, Implied Volatility and Unscented Kalman Filter,
Ramaprasad Bhar, from World Scientific Publishing Co. Pte. Ltd. (2010)
Keywords: Kalman Filter, Stochastic Volatility, Unscented Kalman Filter, Extended Kalman Filter, Interest Rate Process, Stochastic Volatility, Inflation Uncertainty, Forward Exchange Rate, Equity Price of Risk, Credit Default Swaps,

Modelling the dynamics of long-term bonds with Kalman filter,
Romeo Mawonike, Dennis Ikpe and Samuel Asante Gyamerah, in International Journal of Bonds and Derivatives (2021)
Keywords: short rate; Vasicek model; Kalman filter; term structure; interest rate.

Possibilities of Using Kalman Filters in Indoor Localization,
Katerina Fronckova and Pavel Prazak, in Mathematics (2020)
Keywords: Kalman filters; indoor localization; location-based services; stochastic estimation

The dynamics of the volatility skew: A Kalman filter approach,
Mascia Bedendo and Stewart D. Hodges, in Journal of Banking & Finance (2009)
Keywords: Implied volatility Kalman filter Density forecasting Value-at-Risk

DYNAMICS OF ELECTRICITY DEMAND IN LESOTHO: A KALMAN FILTER APPROACH,
Retselisitsoe Thamae, Leboli Zachia Thamae and Thimothy Molefi Thamae, in Studies in Business and Economics (2015)
Keywords: electricity demand, price elasticity, income elasticity, Kalman filter, Lesotho

Estimating the Output Gap: A Kalman Filter Approach,
L. Christopher Plantier and Ozer Karagedikli, from Econometric Society (2004)
Keywords: output gap, Kalman filter, New Zealand, real time

Nonlinear Kalman Filtering in Affine Term Structure Models,
Peter Christoffersen, Christian Dorion, Kris Jacobs and Lotfi Karoui, in Management Science (2014)
Keywords: Kalman filtering, nonlinearity, term structure models, swaps, caps, particle filtering

Nonlinear Kalman Filtering in Affine Term Structure Models,
Peter Christoffersen, Christian Dorion, Kris Jacobs and Lot?fi Karoui, from Department of Economics and Business Economics, Aarhus University (2012)
Keywords: Kalman filtering, nonlinearity, term structure models, swaps, caps.

Computational aspects of continuous–discrete extended Kalman-filtering,
Thomas Mazzoni, in Computational Statistics (2008)
Keywords: Extended Kalman-filter, Taylor–Heun-integration, Modified Gauss–Legendre-formula,

Nonlinear Kalman Filtering in Affine Term Structure Models,
Peter Christoffersen, Christian Dorion, Kris Jacobs and Lotfi Karoui, from CIRPEE (2014)
Keywords: Kalman filtering, nonlinearity, term structure models, swaps, caps

Dividend Smoothing and Investor Protection,
Ante Džidić Silvije Orsag, in Zagreb International Review of Economics and Business (2019)
Keywords: investor, protection, dividend smoothing, law