Introduction to Local Level Model and Kalman Filter
Introduction to Local Level Model and Kalman Filter
Introduction to Local Level Model and Kalman Filter
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Simulated LL Data<br />
5 σε<br />
2 =0.1 ση<br />
2 =1 y μ<br />
0<br />
−5<br />
0<br />
−5<br />
−2<br />
0 10 20 30 40 50 60 70 80 90 100<br />
5 σ 2<br />
ε =1 ση<br />
2 =1<br />
0 10 20 30 40 50 60 70 80 90 100<br />
2 σε<br />
2 =1 ση<br />
2 =0.1<br />
0<br />
0 10 20 30 40 50 60 70 80 90 100