Detailed Information on Publication Record
2003
Kalman Filter Modification for Identification Stochastic Economic Systems with Unobserved and Nonstationary Variables
VAŠÍČEK, Osvald and Stanislav DAVIDBasic information
Original name
Kalman Filter Modification for Identification Stochastic Economic Systems with Unobserved and Nonstationary Variables
Authors
VAŠÍČEK, Osvald (203 Czech Republic, guarantor) and Stanislav DAVID (203 Czech Republic)
Edition
Košice, INTERNATIONAL CARPATHIAN CONTROL CONFERENCE-ICCC 2003, p. 417-420, 3 pp. 2003
Publisher
TU Košice, BERG faculty Košice
Other information
Language
English
Type of outcome
Stať ve sborníku
Field of Study
50200 5.2 Economics and Business
Country of publisher
Slovakia
Confidentiality degree
není předmětem státního či obchodního tajemství
RIV identification code
RIV/00216224:14560/03:00008078
Organization unit
Faculty of Economics and Administration
ISBN
80-7099-509-2
Keywords in English
Iterative Extended Kalman filter; Potential Product; Non-Accelerating Inflation Rate of Uneymployment
Změněno: 4/6/2003 10:45, prof. Ing. Osvald Vašíček, CSc.
Abstract
V originále
The Iterative Kalman filter Smoother (IKFS) is the method for estimation of initial states and parameters of models in the state space form. This estimation procedure is described in the paper along with its basic properties. The above-mentioned application is an example how Iterative Kalman filter Smoother is employed to identify unobserved states and time-varying parameters of macroeconomic models simultaneously.
Links
| GA402/02/0393, research and development project |
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