Displaying 1 result from an estimated 1 matches for "noise_t".
2004 Apr 07
1
Time Varying Coefficients
I'd like to estimate time varying coefficients in a linear regression using
a Kalman filter.
Even if the Kalman Filter seems to be available in some packages I can't
figure out how to use it to estimate the coefficients.
Is there anyway to do that in R?
Any help appreciated
Thanks