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Gaygysyz Guljanov

University of Münster

Universitätsstraße 14-16

Münster, 48143

Germany

  • University of Münster

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Scholarly Papers (1)

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Pruned Skewed Kalman Filter and Smoother with Application to DSGE Models

Number of pages: 39 Posted: 07 Feb 2025
Gaygysyz Guljanov, Willi Mutschler and Mark M. Trede
University of Münster, University of Tuebingen - Department of Economics and University of Münster - Faculty of Economics
Downloads 47 (1,097,529)

Abstract:

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state-space models, skewed Kalman filter, skewed Kalman smoother, closed skew-normal, dimension reduction, asymmetric shocks