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Kalman filter

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Journal Article
History of Political Economy (1997) 29 (suppl_1): 41–62.
Published: 01 January 1997
... the use of Wiener-Kolmogorov techniques or based on Kalman filtering.8 First, for the purpose of using the Wiener-Kolmogorov formula for pre­ diction, let us start with a moving average, covariance stationary process (see Whittle 1983) 00 00...
Journal Article
History of Political Economy (2020) 52 (S1): 143–167.
Published: 01 December 2020
.... 1974. A View of Three Decades of Linear Filtering Theory. IEEE Transactions on Information Theory IT-20, no. 2: 146 81. 166 Marcel Boumans Kálmán, Rudolf Emil. 1960. A New Approach to Linear Filtering and Predictions Problems. Journal of Basic Engineering 82: 35 45. Klamer, Arjo. 1984. The New...
Journal Article
History of Political Economy (2020) 52 (S1): 115–142.
Published: 01 December 2020
... Years from the Pure to the Applied. In The Application of Kalman Filter to Hydraulics and Water Resources: Proceedings of AGU Chapman Conference at University of Pitts- burgh, 31 54. Pittsburgh, PA: American Geophysical Union. Kendall, M. G. 1960. Review of Cybernetics and Management, by S. Beer...
Journal Article
History of Political Economy (1997) 29 (suppl_1): 313–329.
Published: 01 January 1997
... optimal control/dynamic filtering, Kalman, 52, 53-54 318 Index financial economics, 170-84 funding, for research, 28, 41^-2, 44, Black-Scholes options pricing 50 formula, 178n, 179, 181 futures markets, 109 Capital...
Journal Article
History of Political Economy (2020) 52 (S1): 10–27.
Published: 01 December 2020
... emerged from the appropriation by Lucas et al. of Richard Bellman s dynamic programming and Kálmán filtering (Judy Klein and Marcel Boumans, in this volume, develop and qualify the history of this appropriation). These economists may well believe that they helped their eld become a science, yet they did...
Journal Article
History of Political Economy (2017) 49 (Supplement): 103–126.
Published: 01 December 2017
... was to support the development of new techniques, partly through allowing users to combine a variety of methods. One technique developed at the center was the Kalman filter, and its extension the Hodrick-Prescott ¥lter (see Boumans 2004, 240–42). Likewise, resam- pling techniques such as bootstrapping...