A low dimensional Kalman filter for systems with lagged observables
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More about this item
KeywordsKalman filter; lagged observables; Kalman smoother; simulation smoother;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-27 (All new papers)
- NEP-ECM-2009-11-27 (Econometrics)
- NEP-ETS-2009-11-27 (Econometric Time Series)
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