A note on the stability of the Kalman-bucy filter with randomly time-varying parameters

1996 ◽  
Vol 78 (1) ◽  
pp. 28-33 ◽  
Author(s):  
P. Bougerol ◽  
S. Fakhfakh
Keyword(s):  
Time Varying ◽  
Varying Parameters ◽  
Time Varying Parameters ◽  
The Stability

STATISTICAL LEARNING WITH TIME-VARYING PARAMETERS

2003 ◽  
Vol 7 (1) ◽  
pp. 119-139 ◽  
Author(s):  
Bruce McGough
Keyword(s):  
Stochastic Process ◽  
Kalman Filter ◽  
Statistical Learning ◽  
Rational Expectations ◽  
Stability Parameter ◽  
Time Varying ◽  
Rational Expectations Equilibrium ◽  
Varying Parameters ◽  
Time Varying Parameters ◽  
The Stability

In their landmark paper, Bray and Savin note that the constant-parameters model used by their agents to form expectations is misspecified and that, using standard econometric techniques, agents may be able to determine the time-varying nature of the model's parameters. Here, we consider the same type of model as employed by Bray and Savin except that our agents form expectations using a perceived model with parameters that vary with time. We assume agents use the Kalman filter to form estimates of these time-varying parameters. We find that, under certain restrictions on the structure of the stochastic process and on the value of the stability parameter, the model will converge to its rational expectations equilibrium. Further, the restrictions on the stability parameter required for convergence are identical to those found by Bray and Savin.

Synchronization of Chaotic Systems with Uncertain Time-Varying Parameters

2015 ◽  
Vol 9 (6) ◽  
pp. 568
Author(s):  
Ahmad Al-Jarrah ◽  
Mohammad Ababneh ◽  
Suleiman Bani Hani ◽  
Khalid Al-Widyan
Keyword(s):  
Chaotic Systems ◽  
Time Varying ◽  
Varying Parameters ◽  
Time Varying Parameters ◽  
Uncertain Time
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