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A General Algorithm for Simultaneous Estimation of Constant and Randomly-Varying Parameters in Lineal Relations

  • Computer Science
  • Mathematics


A recursive algorithm for estimating linear models with both constant and time-varying parameters is derived by maximization of a likelihood function. Recursive formulas are also derived for derivatives of the likelihood function; the derivatives are needed for numerical evaluation of some parameters. Smoothing formulas are also derived. The estimation algorithm is compared with others for similar classes of models.

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