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20-052/III - Bellman filtering for state-space models


  • Author
    Rutger Jan Lange, Erasmus School of Economics
  • Publication date
    August 27, 2020
  • Keywords
    Bellman filter, dynamic programming, Kalman filter, maximum a posteriori (MAP) estimate, posterior mode, state-space model
  • JEL
    C32, C53, C61