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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

Abstract: 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)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:118:y:2013:i:1:p:139-142

DOI: 10.1016/j.econlet.2012.10.002

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