GitHub

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```{index} single: Vector Autoregression; and Kalman filter

2020

```

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In addition to what's in Anaconda, this lecture will need the following libraries:

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```{code-cell} ipython3

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:tags: [hide-output]

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!pip install quantecon

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```

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## Overview

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This lecture derives the **Kalman filter** for a linear Gaussian state space system

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:depth: 2

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```

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In addition to what's in Anaconda, this lecture will need the following libraries:

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```{code-cell} ipython3

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:tags: [hide-output]

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!pip install quantecon

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```

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## Overview

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This lecture extends our analysis of likelihood ratio processes to Vector Autoregressions (VARs).

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:depth: 2

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```

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In addition to what's in Anaconda, this lecture will need the following libraries:

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```{code-cell} python3

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:tags: [hide-output]

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!pip install quantecon

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```

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## Overview

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:depth: 2

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```

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In addition to what's in Anaconda, this lecture will need the following libraries:

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```{code-cell} python3

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:tags: [hide-output]

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!pip install quantecon jax

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```

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## Overview

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Read the original on github.com ↗