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A Study on Kalman Filter and its applications in Economics

Title
A Study on Kalman Filter and its applications in Economics
Other Titles
칼만필터의 연구와 경제분야의 적용
Author
권경혜
Alternative Author(s)
Kwon, Kyoung Hea
Advisor(s)
차경준
Issue Date
2008-02
Publisher
한양대학교
Degree
Master
Abstract
칼만필터는 최소제곱법을 이용하여 프로세스의 상태를 추정하는 효율적인 수학적 방법이다. 이 필터는 여러 가지 면에서 매우 강력한데, 과거와 현재, 그리고 미래의 추정을 가능하게 해주고, 심지어 모델화 된 시스템의 정확한 상태를 모를 때에도 가능하다. 이 논문의 목적은 칼만필터와 그것의 경제분야에서의 적용을 공부하는 데 있다.; The Kalman filter is a set of mathematical equations that provides an efficient computational (recursive) means to estimate the state of a process, in a way that minimizes the mean of the squared error. The filter is very powerful in several aspects: it supports estimations of past, present, and even future states, and it can do so even when the precise nature of the modeled system is unknown. The purpose of this paper is the study on Kalman filter and its applications in Economics.
URI
https://repository.hanyang.ac.kr/handle/20.500.11754/147535http://hanyang.dcollection.net/common/orgView/200000407892
Appears in Collections:
GRADUATE SCHOOL[S](대학원) > MATHEMATICS(수학과) > Theses (Master)
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