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Multivariate Kalman Filtering Gauss Code (Handling Missing Observations)

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Author Info
Geoffrey Shuetrim () (Australian Prudential Regulation Authority)

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Abstract

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File URL: http://www.apra.gov.au/RePEc/RePEcDocs/Archive/code/cd0002.zip
File Format: application/zip
File Function: Gauss kalman filtering program
Download Restriction: no

Publisher Info
Software component provided by Australian Prudential Regulation Authority in its series Programs and Software with number cd0002.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
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Date of creation: 23 Feb 1999
Date of revision:
Handle: RePEc:apr:aprsft:cd0002

Note: This software is provided for public non-commercial illustrative purposes only. The author takes no responsibility for any errors. Use it at your own risk.
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Postal: 400 George Street, Sydney, NSW 2000, Australia
Phone: +61 (0)2 9210 3000
Fax: +61 (0)2 9210 3022
Web page: http://www.apra.gov.au/

For technical questions regarding this item, or to correct its listing, contact: (Justin Harding).

Related research
Keywords: Kalman Filter; Gauss;

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

Statistics
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This page was last updated on 2009-11-25.

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