A note on exact correspondences between adaptive learning algorithms and the Kalman filter
Michele Berardi () and
Jaqueson Galimberti ()
Economics Letters, 2013, vol. 118, issue 1, 139-142
We extend the correspondences between adaptive learning algorithms and the Kalman filter to formulations with time-varying gains. Our correspondences hold exactly, in a computational implementation sense, and we discuss how they relate to previous approximate correspondences found in the literature.
Keywords: Adaptive learning; Least squares; Stochastic gradient; Kalman filter (search for similar items in EconPapers)
JEL-codes: C32 C63 D83 D84 (search for similar items in EconPapers)
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Working Paper: A note on exact correspondences between adaptive learning algorithms and the Kalman filter (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:118:y:2013:i:1:p:139-142
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