Umami, Riza and Nisa, Khoirin (2019) Pendugaan Model Time Varying Parameter Menggunakan Algoritma Kalman Filter. In: Seminar Nasional Sains, Matematika, Informatika, dan Aplikasinya (SMIAP), 24-25 Oktober 2019, Universitas Lampung. (Submitted)

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Abstract

The Time Varying Parameter (TVP) model is a univariate time series model, where the parameters vary with time. The TVP model is specified in the state space model and is estimated by the Kalman Filter algorithm. Estimation of the model in the Kalman Filter algorithm uses maximum likelihood method. In this way, the Kalman Filter algorithm can be used with the maximum likelihood in the time domain to estimate the parameters of the TVP model and the state vector

Item Type: Conference or Workshop Item (Speech)
Subjects: H Social Sciences > HA Statistics
Divisions: Fakultas Matematika dan Ilmu Pengetahuan Alam (FMIPA) > Prodi Matematika
Depositing User: DR. KHOIRIN NISA
Date Deposited: 04 Nov 2019 08:14
Last Modified: 04 Nov 2019 08:14
URI: http://repository.lppm.unila.ac.id/id/eprint/15340

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