A Square-Root Second-Order Extended Kalman Filtering Approach for Estimating Smoothly Time-Varying Parameters

Keyphrases

• Varying Parameters 100%
• Square Root 100%
• Dynamic Factor Model 100%
• Filter Approach 100%
• Extended Kalman Filtering 100%
• Meditation 50%
• Statistical Model 50%
• Emotional Experience 50%
• System Dynamics 50%
• Bivariate 50%
• Psychological Processes 50%
• Treatment Effect 50%
• Monte Carlo Simulation 50%
• Dynamic Effects 50%
• Individual Behaviour 50%
• Time-varying Effects 50%
• Interest Changes 50%
• Complex Time 50%
• Handling Dynamics 50%
• Time-dependent Phenomena 50%
• Time-varying Dynamics 50%
• Intensive Longitudinal Data 50%
• Emotional Dynamics 50%

Mathematics

• Square Root 100%
• Kalman Filtering 100%
• Time-Varying Parameter 100%
• Factor Dynamic 100%
• Longitudinal Data 50%
• Bivariate 50%
• Treatment Effect 50%
• Psychological Process 50%
• Emotional Experience 50%
• Monte Carlo Method 50%

Economics, Econometrics and Finance

• Factor Model 100%
• Monte Carlo Simulation 50%
• Causality Analysis 50%