A Note on Optimal Smoothing for Time Varying Coefficient Problems

10 Pages Posted: 10 May 2013

See all articles by Thomas F. Cooley

Thomas F. Cooley

New York University - Leonard N. Stern School of Business; National Bureau of Economic Research (NBER)

Kent D. Wall

Naval Postgraduate School

Date Written: March 1976

Abstract

An algorithm is presented which provides a complete solution to the optimal estimation problem for time-varying parameters when no proper prior distribution is specified. The key ideas involve a combination of the information-form Kalman filter with the two-filter interpretation of the optimal smoother. The algorithm produces efficient estimates of the parameter trajectories over the entire sample, arid is equally applicable when a proper prior distribution has been specified.

Suggested Citation

Cooley, Thomas F. and Wall, Kent D., A Note on Optimal Smoothing for Time Varying Coefficient Problems (March 1976). NBER Working Paper No. w0128. Available at SSRN: https://ssrn.com/abstract=2263112

Thomas F. Cooley (Contact Author)

New York University - Leonard N. Stern School of Business ( email )

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National Bureau of Economic Research (NBER)

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Kent D. Wall

Naval Postgraduate School

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Monterey, CA 93943-5201
United States

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