Dae Keun Park

College of Business, Korea Advanced Institute of Science and Technology (KAIST)

85 Hoegiro, Dongdaemoon-gu

Seoul 02455

Korea, Republic of (South Korea)

  • College of Business, Korea Advanced Institute of Science and Technology (KAIST)

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Scholarly Papers (1)

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A Bayesian Sequential Method for Identifying Structural Shocks and Adaptive Forecasting in State Space Model

KAIST College of Business Working Paper Series No. 2014-025
Number of pages: 48 Posted: 20 Nov 2014
Duk Bin Jun, Seung Hyun Kim and Dae Keun Park
College of Business, Korea Advanced Institute of Science and Technology (KAIST), KAIST Business School and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
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Abstract:

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State space models; Intervention; ARIMA models; Adaptive exponential smoothing; Kalman filter