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3086统计困难derivationmedium

Steady-State Gain with Q=1, R=2

题目

Consider the scalar local-level model in steady state: xt=xt1+wtx_t=x_{t-1}+w_t, wtN(0,1)w_t\sim N(0,1), and yt=xt+vty_t=x_t+v_t, vtN(0,2)v_t\sim N(0,2). Compute the steady-state posterior variance CC and the steady-state Kalman gain KK.

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你的答案

C

K