Stochastic Filtering
Lecture Notes
Lecture Notes
[2] Matlab code
References
References
[Ham] Hamilton, Ch. 13
[Ham] Hamilton, Ch. 22
[WesHar97] West, M. and Harrison, P. J. (1997). Bayesian Forecasting and Dynamic Models, Springer-Verlag.
[2] Matlab code
[Ham] Hamilton, Ch. 13
[Ham] Hamilton, Ch. 22
[WesHar97] West, M. and Harrison, P. J. (1997). Bayesian Forecasting and Dynamic Models, Springer-Verlag.