Prediction of economic time-series by means of the Kalman filter†
- 1 October 1970
- journal article
- research article
- Published by Taylor & Francis in International Journal of Systems Science
- Vol. 1 (1) , 25-32
- https://doi.org/10.1080/00207727008920215
Abstract
The principal objective of this paper is to indicate the use of the well-known Kalman filter as a technique for prediction of time-series and its similarities to optimal adaptive forecasting. It is shown that for a single time-series consisting of trend and trend-change and stochastic disturbances, the filter gives predictions identical to those of Thoil-Nerlove-Wage who in 1964 developed optimal adaptive forecasting for such a series. A numerical example illustrates the use of the filter and verifies the analytical results.Keywords
This publication has 3 references indexed in Scilit:
- Some Observations on Adaptive ForecastingManagement Science, 1964
- New Results in Linear Filtering and Prediction TheoryJournal of Basic Engineering, 1961
- A New Approach to Linear Filtering and Prediction ProblemsJournal of Basic Engineering, 1960