State Space Models Fall 2018的副本.pdf

State Space Models Fall 2018的副本.pdf - State Space...

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State Space Models Bruce D. McNevin, Ph.D. Financial Econometrics Econ. G31.3001.04 Department of Economics New York University
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Outline Introduction to Bayesian Inference State Space Models Kalman Filter Conceptual Overview Derivation Applications: 1 st Order Dynamic Linear Model (DLM) 2 nd Order DLM Introduction to Smoothing Time varying CAPM
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