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- Mon Oct 03, 2011 12:06 am
- Forum: Suggestions and Requests
- Topic: Confidence band for Kalman filter
- Replies: 0
- Views: 2946
Confidence band for Kalman filter
Hi, The Eviews can calculate the uncertainty or the confidence band (RMSE-s) for one step-ahead prediction. If the variances of the filter are set to a very tiny number then this band will bee too narrow so it can not really capture the uncertainty of the estimation. Could you help me with calculati...