Use of Kalman Filtering Techniques when the Parameters of a Regression Relationship are Changing over Time According to a Multivariate ARIMA Process

Ledolter, J. (1976). Use of Kalman Filtering Techniques when the Parameters of a Regression Relationship are Changing over Time According to a Multivariate ARIMA Process. IIASA Research Memorandum. IIASA, Laxenburg, Austria: RM-76-044

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Abstract

It is shown how Kalman filtering methodology can be applied to the estimation of the parameters in a regression model, when the parameters are subject to change over time. A multivariate ARIMA model for the parameters of the regression relationship is entertained and it is shown how this model can be brought into the state variable form. Furthermore it is shown how this procedure specializes to various cases already discussed in the literature.

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