An economist's guide to the Kalman filter


  • Francisco Venegas Universidad Nacional Autónoma de México
  • Enrique De Alba Instituto Tecnológico Autónomo de México
  • Manuel Ordorica El Colegio de México



Kalman Filter, KF, information theory, Bayesian inference


Almost since its appearance, the Kalman Filter (KF) has been successfully used in control engineering. Unfortunately, most of its important results have been published in engineering journals with language, notation and style proper of engineers. In this paper, we want to present the KF in an attractive way to economists by using information theory and Bayesian inference.


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How to Cite

Venegas, F., De Alba, E., & Ordorica, M. (1995). An economist’s guide to the Kalman filter. Estudios Económicos De El Colegio De México, 10(2), 123–145.