I have a simple question. I think not a question is, is a request. This month I have been studying how to understand and implement the Kalman filter algorithm for simple models such as the local level.

$ Y_t = \mu_t + \epsilon_t$

$\mu_t = u_{t-1} + \gamma_t$

I managed to implement this model (i don't have ability in programming).

Now I'm studying the part of Extended Kalman Filter.

And I'm having trouble implementing the model below using the EKF:

  • Power Growth Model:

$ Y_t = \mu_t + \epsilon_t$

$\mu_t = \mu_{t-1}^{(v_{t-1}+1)} + \gamma_t$

$v_{t} = \phi v_{t} + \eta_t$

It was then that I thought there would be a scalar model example to estimate using the EKF, with only $\mu_{t}$ and some nonlinear form?

I have not found Scalar models as an example of use for EKF.

Is there any alternative for the local level model that i could use the EKF to estimating?

Any suggestion?

Thanks, Laorie.

  • $\begingroup$ What do you an extended Kalman filter? and waht do you Scalar models. Most of people here may not know them If you can add more background information, it will be more helpful for your question. $\endgroup$ – Gordon Jun 27 '16 at 17:07

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