Investigation of the structural properties of Kalman filter models for forecasting non-stationary time series
This work examines structural properties of dynamic linear models (DLMs) and considers their implications for predictors and minimum-variance estimators of these models. The techniques employed are those of statistical time series analysis and modern control theory, and particular use is made of the...
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Royal Holloway, University of London
1981
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.704330 |