Repeated Surveys and the Kalman Filter
Repeated Surveys and the Kalman Filter
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重复调查和卡尔曼滤波器
DOI：
10.1111/j.1368-423x.2005.00172.x
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发表时间：
2005
期刊：
影响因子：
--
通讯作者：
J. Lind
中科院分区：
文献类型：
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作者：
J. Lind
很少考虑到重复调查的时间序列性质。少数这样做的研究在不使用横截面信息的情况下平滑了周期估计。这将导致低效的评估。我们提出了一个重复调查的统计模型，并基于卡尔曼滤波算法构造了一个计算简单的估计器。该方法有效地使用了整个底层数据集，但仅需要数据的第一和第二矩进行计算。版权所有2005年皇家经济学会
The time-series nature of repeated surveys is seldom taken into account. The few studies that do so smooth the period-wise estimates without using the cross-sectional information. This leads to inefficient estimation. We present a statistical model of repeated surveys and construct a computationally simple estimator based on the Kalman filter algorithm. The method efficiently uses the whole underlying data set, but only the first and second moments of the data are required for computational purposes. Copyright 2005 Royal Economic Society