BibTex RIS Kaynak Göster
Yıl 2015, Cilt: 64 Sayı: 2, 111 - 121, 01.08.2015
https://doi.org/10.1501/Commua1_0000000738

Öz

Kaynakça

  • Anderson, B.D.O. and J.B. Moore (1979), “Optimal Filtering”, Prentice Hall, 1979.
  • Bacchetta, P., Gerlach, S.(1997). “Consumption and credit constraints:international evidence”, Journal of Monetary Economics, 40, 207-238.
  • Favero, C. A, Rovelli, R.(2003), “Modeling and Identifying central bank preferences ”, Journal of Money , Credit and Banking, 35, 545-556.
  • Grillenzoni C.(1993), “ARIMA Processes with ARIMA parameters”, Journal of Business and Economic Statistics, 11, 235-250.
  • Kalman, R. E. (1960), “A new Approach to Linear Filtering and Prediction Problems”, Journal of Basic Engineering, Vol. 82; 35-45.
  • Ljungqvist, L, H. Lustig, R. Manvelli, T.J. Sargent, S.V. Nievwerburgh, (2001), “Exercises in Recursive Macroeconomic Theory”, unpublished manuscript, Stanford University, Hoover Institution.
  • Ljungqvist, L and T.J. Sargent (2000), “Recursive Macroeconomic Theory”, The MIT Press, Cambridge, MA.
  • Ljung, L and T. Söderström (1985), “Theory and Practice of Recursive Identification”, The MIT Press, Cambridge, MA.
  • Özbek, L. and M. Efe (2004), “An adaptive extended Kalman filter with application to compartment models”, Communication in Statistics, Simulation and Computation, 33:145- 158.
  • Özlale, Ü. (2003), “Price Stability US Output Stability: tales of federal reserve administrations, Journal of Economic Dynamics and Control”, 27,1595-1610.
  • Özbek, L., Özlale, Ü.(2005), “Employing the extended Kalman Filter in measuring the output gap, Journal of Economic Dynamics and Control”, 29, 1611-1622.
  • Salemi, M. (1995), “Revealed preference of the federal reserve: using inverse control theory to interpret the policy equation of a vector autoregression, journal of business and economic statistics”, 13, 419-433.

ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM

Yıl 2015, Cilt: 64 Sayı: 2, 111 - 121, 01.08.2015
https://doi.org/10.1501/Commua1_0000000738

Öz

In this paper, we employ a non-linear state space model and the extended Kalman filter to simultaneously estimate the time-varying parameters in an optimal control problem, where the objective (loss) function is quadratic. Our methodology also allows us to derive the difference between the optimal control and the observed control variable. A simulation exercise based on a simple intertemporal model shows that the estimated parameter values are very close to their population values, which provide further support for the estimation methodology introduced in this paper

Kaynakça

  • Anderson, B.D.O. and J.B. Moore (1979), “Optimal Filtering”, Prentice Hall, 1979.
  • Bacchetta, P., Gerlach, S.(1997). “Consumption and credit constraints:international evidence”, Journal of Monetary Economics, 40, 207-238.
  • Favero, C. A, Rovelli, R.(2003), “Modeling and Identifying central bank preferences ”, Journal of Money , Credit and Banking, 35, 545-556.
  • Grillenzoni C.(1993), “ARIMA Processes with ARIMA parameters”, Journal of Business and Economic Statistics, 11, 235-250.
  • Kalman, R. E. (1960), “A new Approach to Linear Filtering and Prediction Problems”, Journal of Basic Engineering, Vol. 82; 35-45.
  • Ljungqvist, L, H. Lustig, R. Manvelli, T.J. Sargent, S.V. Nievwerburgh, (2001), “Exercises in Recursive Macroeconomic Theory”, unpublished manuscript, Stanford University, Hoover Institution.
  • Ljungqvist, L and T.J. Sargent (2000), “Recursive Macroeconomic Theory”, The MIT Press, Cambridge, MA.
  • Ljung, L and T. Söderström (1985), “Theory and Practice of Recursive Identification”, The MIT Press, Cambridge, MA.
  • Özbek, L. and M. Efe (2004), “An adaptive extended Kalman filter with application to compartment models”, Communication in Statistics, Simulation and Computation, 33:145- 158.
  • Özlale, Ü. (2003), “Price Stability US Output Stability: tales of federal reserve administrations, Journal of Economic Dynamics and Control”, 27,1595-1610.
  • Özbek, L., Özlale, Ü.(2005), “Employing the extended Kalman Filter in measuring the output gap, Journal of Economic Dynamics and Control”, 29, 1611-1622.
  • Salemi, M. (1995), “Revealed preference of the federal reserve: using inverse control theory to interpret the policy equation of a vector autoregression, journal of business and economic statistics”, 13, 419-433.
Toplam 12 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Research Article
Yazarlar

Levent Özbek Bu kişi benim

Esin Köksal Babacan Bu kişi benim

Yayımlanma Tarihi 1 Ağustos 2015
Yayımlandığı Sayı Yıl 2015 Cilt: 64 Sayı: 2

Kaynak Göster

APA Özbek, L., & Köksal Babacan, E. (2015). ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics, 64(2), 111-121. https://doi.org/10.1501/Commua1_0000000738
AMA Özbek L, Köksal Babacan E. ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM. Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat. Ağustos 2015;64(2):111-121. doi:10.1501/Commua1_0000000738
Chicago Özbek, Levent, ve Esin Köksal Babacan. “ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM”. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 64, sy. 2 (Ağustos 2015): 111-21. https://doi.org/10.1501/Commua1_0000000738.
EndNote Özbek L, Köksal Babacan E (01 Ağustos 2015) ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 64 2 111–121.
IEEE L. Özbek ve E. Köksal Babacan, “ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM”, Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat., c. 64, sy. 2, ss. 111–121, 2015, doi: 10.1501/Commua1_0000000738.
ISNAD Özbek, Levent - Köksal Babacan, Esin. “ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM”. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 64/2 (Ağustos 2015), 111-121. https://doi.org/10.1501/Commua1_0000000738.
JAMA Özbek L, Köksal Babacan E. ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM. Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat. 2015;64:111–121.
MLA Özbek, Levent ve Esin Köksal Babacan. “ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM”. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics, c. 64, sy. 2, 2015, ss. 111-2, doi:10.1501/Commua1_0000000738.
Vancouver Özbek L, Köksal Babacan E. ESTIMATION OF TIME VARYING PARAMETERS IN AN OPTIMAL CONTROL PROBLEM. Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat. 2015;64(2):111-2.

Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics.

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