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Estimating and Testing Linear Models with Multiple Structural Changes

✍ Scribed by Bai, Jushan; Perron, Pierre


Book ID
111939667
Publisher
John Wiley and Sons
Year
1998
Tongue
English
Weight
663 KB
Volume
66
Category
Article
ISSN
0012-9682

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Linear estimation of continuous-discrete
✍ J.C. Jimenez; T. Ozaki πŸ“‚ Article πŸ“… 2002 πŸ› Elsevier Science 🌐 English βš– 211 KB

This paper deals with the estimation of the state variable of continuous-discrete linear state space models with multiplicative noise. SpeciΓΏcally, the optimal minimum variance linear ΓΏlter for that class of models is constructed. Moreover, the solutions of the di erential equations that describe th