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parameter-stability

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esosetrov / recursive_least_squares_rls

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A deep exploration of Recursive Least Squares: theoretical foundations, practical applications with copper and monetary datasets, structural break analysis, and comparisons with alternative time-varying parameter methodologies.

bayesian-inference statsmodels kalman-filter time-series-analysis adaptive-filters statistical-modeling recursive-least-squares parameter-stability time-varying-parameters structural-break-detection cusum-test-state-space-models
  • Updated Dec 17, 2025
  • Jupyter Notebook

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