Abstract
This paper provides an introductory set of lectures on the subject of Kalman filtering and least squares estimation and its connection to Bayesian estimation and recursive estimation. Applications to loss reserving as a way of overcoming multicollinearity problems are also given.
Year
1996
Categories
Actuarial Applications and Methodologies
Reserving
Reserving Methods
Financial and Statistical Methods
Statistical Models and Methods
Publications
CLRS Transcripts
