Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering
β Scribed by Edwin Burmeister, Kent D. Wall and James D. Hamilton
- Book ID
- 124697020
- Publisher
- American Statistical Association
- Year
- 1986
- Tongue
- English
- Weight
- 484 KB
- Volume
- 4
- Category
- Article
- ISSN
- 0735-0015
- DOI
- 10.2307/1391314
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This paper applies the Kalman filter to improve upon published preliminary estimates of monthly retail sales, using ARIMA model projections as an alternative information source. Published revisions of retail sales estimates showed systematic patterns. Consequently, the filter problem is specified to
## Abstract Covariance inflation plays an important role within the ensemble Kalman filter (EnKF) in preventing filter divergence and handling model errors. However the inflation factor needs to be tuned and tuning a parameter in the EnKF is expensive. Previous studies have adaptively estimated the