The Kalman filter in finance /
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| Author / Creator: | Wells, Curt, 1942- |
|---|---|
| Imprint: | Dordrecht [Netherlands] ; Boston [Mass.] : Kluwer Academic Publishers, 1996. |
| Description: | xvi, 169 p. : ill. ; 25 cm. |
| Language: | English |
| Series: | Advanced studies in theoretical and applied econometrics v. 32 |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/2398104 |
Table of Contents:
- 1. Introduction
- 2. Tests for parameter stability
- 3. Flexible Least Squares
- 4. The Kalman filter
- 5. Parameter estimation
- 6. The estimates, reconsidered
- 7. Modeling with the Kalman filter.