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Updated
Sep 16, 2021 - R
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time-varying-parameters
Here are 3 public repositories matching this topic...
Code for Master Thesis titled: "Dynamic Factor Model with Time-Varying Parameters: Simulation Study & Application to International Inflation Dynamics"
inflation gibbs-sampling simulation-study bayesian-estimation stochastic-volatility time-varying-parameters dynamic-factor-models
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Nov 24, 2024 - Python
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
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Dec 17, 2025 - Jupyter Notebook
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