Department of Economics and Business Economics

A data-cleaning augmented Kalman filter for robust estimation of state space models

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Original languageEnglish
JournalEconometrics and Statistics
Pages (from-to)107-123
Number of pages17
Publication statusPublished - 1 Jan 2018

    Research areas

  • Additive outlier, Augmented Kalman filter, Innovation outlier, Robust filtering, Structural time series model

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