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@inproceedings{556311, author = {Vašíček, Osvald and David, Stanislav}, address = {Praha}, booktitle = {Mathematical Methods in Economics 2004}, keywords = {Iterative Kalman Filter Smoother; state constraints; estimation}, language = {eng}, location = {Praha}, isbn = {80-210-3496-3}, pages = {63-68}, publisher = {Masaryk University}, title = {Monetary Policy Application of the Constrained Kalman Filter}, year = {2004} }
TY - JOUR ID - 556311 AU - Vašíček, Osvald - David, Stanislav PY - 2004 TI - Monetary Policy Application of the Constrained Kalman Filter PB - Masaryk University CY - Praha SN - 8021034963 KW - Iterative Kalman Filter Smoother KW - state constraints KW - estimation N2 - Iterative Kalman Filter Smoother is used to estimate states of the dynamic system. This paper presents an analytic method of incorporating state constraints into the Kalman Filter as it was researched by Dan Simon, Donald L. Simon and Tien Li Chia. This extension of the Kalman Filter has various applications. The presented macroeconomic application successfully demonstrates the effectiveness of these methods. ER -
VAŠÍČEK, Osvald a Stanislav DAVID. Monetary Policy Application of the Constrained Kalman Filter. In \textit{Mathematical Methods in Economics 2004}. Praha: Masaryk University, 2004, s.~63-68, 5 s. ISBN~80-210-3496-3.
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