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- Tue Mar 01, 2016 12:32 pm
- Forum: Econometric Discussions
- Topic: Kalman filter: state update with some missing signals
- Replies: 0
- Views: 1724
Kalman filter: state update with some missing signals
Hi, I am trying to better understand how the Kalman filter updates the state variables when only some of the signal variables have been observed. To try this out, I have estimated a small state space model with just two signal variables. I have observations on the first through Jan-16 and on the sec...