A Note on Optimal Smoothing for Time Varying Coefficient Problems
An algorithm is presented which provides a complete solution to the optimal estimation problem for time-varying parameters when no proper prior distribution is specified. The key ideas involve a combination of the information-form Kalman filter with the two-filter interpretation of the optimal smoother. The algorithm produces efficient estimates of the parameter trajectories over the entire sample, arid is equally applicable when a proper prior distribution has been specified.
Published Versions
Cooley, Thomas F. and Wall, Kenneth D. "A Note on Optimal Smoothing for Time Varying Coefficient Problems." Annals of Economic and Social Measurement, Vol. 6, No. 4, pp. 453-456, 1977.
Cooley, Thomas F. and Wall Kenneth D. "A Note on Optimal Smoothing for Time Varying Coefficient Problems," Annals of Economic and Social Measurement, Vol. 5, No. 4, (1977), pp. 453-456.
A Note on Optimal Smoothing for Time Varying Coefficient Problems, Thomas F. Cooley, Barr Rosenberg, Kent D. Wall. in Annals of Economic and Social Measurement, Volume 6, number 4, Berg. 1977
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