Why Kalman Filter?

In this paper the Kalman filter and regression approaches for estimating linear state space models are compared. It is argued that the Kalman filter is no more efficient from a computational point of view, is relatively more complex and hence more obtruse, and that as consequence its central role in the smoothing, estimation and prediction of time series is questionable.


Issue Date:
Sep 01 1990
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
13
Series Statement:
Working Paper No. 12/90




 Record created 2018-01-24, last modified 2018-01-25

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