Kalaba, Robert E.; Tesfatsion, Leigh

Nonlinear Analysis Vol. 12 (1988): 599-615.

This study develops two algorithms for the exact sequential updating of the optimal solution for a general discrete-time nonlinear least squares estimation problem as the process length increases and new observations are obtained. One algorithm proceeds via an imbedding on the process length and the final state vector. The second algorithm proceeds via an imbedding on the process length and the final observation vector. Each algorithm generates optimal (least cost) filtered and smoothed state estimates, together with optimal one-step-ahead state predictions. Annotated pointers to related work can be accessed here: http://www.econ.iastate.edu/tesfatsi/flshome.htm

JEL Classification: C1, C3, C5

Keywords: Flexible least squares, nonlinear estimation, smoothness pior, sequential updating