Re: [Gretl-devel] kalman filter status?
Am 10.05.2008 11:25, Riccardo (Jack) Lucchetti schrieb:
On Fri, 9 May 2008, Allin Cottrell wrote:
>
> Jack produced some useful working notes on this back in February.
> I'm taking the liberty of attaching his TeX source; comments are
> welcome.
I'm attaching a revised version, which contains a quite cool idea (If I
may say so myself) I had some time ago, that is using the KF as a
simulation tool too. Comments very welcome.
With some delay I have now read it, and I have nothing much to add. I
like the idea about the user-defined function to specify the
time-varying parameters.
It could be that there is some room for minor syntactical improvements,
but I guess that is better discussed after the prototype implementations
are done.
With respect to simulation, if it's not difficult to implement, then it
certainly would be nice. Whether it's terribly important or useful I
can't say.
cheers,
sven