Hi again, does anyone has examples (papers, real models) of the use of Kalman Filter for estimating model parameters. I'd like to estimate the auxiliary variables of the model, i.e variables such as
Capacity Acquisition Delay,
Capacity Adjustment Time,
Supply Line Adjustment Time,
Time to Adjust Long-Run Price Expectations,
Time to Adjust Expected Costs,
Reference Inventory Coverage, etc.
Also some simple document explaning the Kalman filter technique could be useful (while waiting for the book Bob advices in his previous answer...) .
Many thanks in advance
G