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Consistent diffuse initial conditions in the Kalman filter

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  • Steyn, I.J.

    (Vrije Universiteit Amsterdam, Faculteit der Economische Wetenschappen en Econometrie (Free University Amsterdam, Faculty of Economics Sciences, Business Administration and Economitrics)

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Suggested Citation

  • Steyn, I.J., 1989. "Consistent diffuse initial conditions in the Kalman filter," Serie Research Memoranda 0015, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    • Handle: RePEc:vua:wpaper:1989-15
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    File URL: http://degree.ubvu.vu.nl/repec/vua/wpaper/pdf/19890015.pdf
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    References listed on IDEAS

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    1. Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-227, June.
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    Cited by:

    1. Merkies, Arnold H. Q. M. & Steyn, Ivo J., 1994. "Modelling changing lag patterns in Dutch construction," Journal of Economic Dynamics and Control, Elsevier, vol. 18(2), pages 499-509, March.

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