Lecture8 The Kalmanfilter

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EE363 Winter 2008-09 Lecture 8 The Kalman filter • Linear system driven by stochastic process • Statistical steady-state • Linear Gauss-Markov model • Kalman filter • Steady-state Kalman filter 8–1
  • state noise
  • statistical assumptions
  • σx
  • lyapunov equation
  • kalman filter
  • linear system
  • markov model
  • dynamical system
  • initial value
  • state
Published : Tuesday, March 27, 2012
Reading/s : 31
Origin : economics.rutgers.edu
Number of pages: 4
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Summer2009;Session3DepartmentofEconomicsRutgersUniversity
IntroductiontoMacroeconomics;220:103Sec:H7
AqeelChaudhry
ClassMeeting :CAScottHall116;Tues–Thurs6:00pm9:55pm
achaudhry@econ.rutgers.eduRoom421,NewJerseyHall75HamiltonStreetNewBrunswick,NJ
OfficeHours :MyOfficeisRoom421inNewJerseyHall,onCollegeAvenue.Officehoursaretobedetermined.
IntroductiontoMacroeconomics:LearningOutcome
InterestinMacroeconomicshasspikedbecauseoftherecenteventsinU.S.andglobaleconomy.Thepurposeofthiscourseistogivestudentanintroductiontothesubjectsotheycancomprehenddifferentdiscussionsregardingdifferenteconomicissues.Thecoursewillintroducedifferentaspectsofmacroeconomicssothatattheendofit,thestudentscanunderstandgeneralinterestarticlesregardingsuchastopicsasinflation,unemployment,andeconomicgrowth.
StudentswhosatisfactorilycompleteIntroductiontoMacroeconomicTheorywillunderstandandbeabletoarticulatethecoreprinciples,conceptsandtheoriesofmodernmacroeconomicsincludingthebasicaggregatedemandandsupplymodel,themultiplier,theKeynesian,ClassicalandMonetaristmodels,theopeneconomymacromodel,andneoclassicalandnewgrowththeory.Studentswillbegintodeveloptheabilitytointerpretandanalyzeeconomicdatasuchasaggregateoutput,inflation,unemploymentandgrowthrates.Throughlectures,discussions,assignmentsandreadingsstudentswillbecomefamiliarwiththetheoreticalframeworkofmacroeconomicsandlearntoapplyittotheanalysisofmacroeconomicpolicyissues.
TextbookandMaterial:N.GregoryMankiw,“PrinciplesofMacroeconomics”,5thEdition,ISBN:0324589999;ISBN13:9780324589993;http://www.thomsonedu.com/economics/mankiw/edition_5/macro.htmlWeshallfollowthebookclosely.Thereareoldereditionsofthebookthatareavailable.Ifthestudentsovercome any difficulties associated with using a choosetousethoseversions,itistheirresponsibilitytobook other than the one prescribed for this course such as chapter numbering, different endofchapter problems or material. There are a number of book by Mankiw that have Macroeconomics in its title. Make sure you get the correct textbook. There will be additional material covered in the coursework that shall be made available to the students before or during the scheduled class sessions.
Prerequisites:Itisassumedthatthestudentshaveworkingknowledgeofmathprecalculuslevelorabove.PreCalculus640:111oranequivalentcourseistheprerequisiteforthiscourse(orcorequisite).
GradingThegradinginthecourseisdividedasfollowsHomework:150pointsTherewillbeatotalof4setsofhomework,assignedinWeeks1,2,4,and5.ThehomeworkwillbeassignedonThursdaysandwillbeduebackonthefollowingTuesday.Quiz:200pointsTotalof4inclassquizzes.Seecourseoutlineforquizdates.Midterm:250pointsFinalExam:400pointsTotalPoints:1000points
1 CourseOutline
Introduction
ReviewofBasicMicroConcepts
Part1:TheDataofMacroeconomics07July:Chapter10:07July:Chapter11:
Quiz1:09July
MeasuringaNation’sIncomeMeasuringtheCostofLiving
Part2:TheRealEconomyintheLongRun09July:Chapter12:ProductionandGrowth14July:Chapter13:Saving,Investment,andtheFinancialSystem
Quiz2:16July
16July:21July:
2 Midterm :23July
Chapter14:Chapter15:
TheBasicToolsofFinanceUnemployment+Review
Part3:MoneyandPricesintheLongRun23July:Chapter16:TheMonetarySystem28July:Chapter17:MoneyGrowthandInflation
1 CourseOutlineissubjecttochange2 TentativeMidtermCutoffpoint
Part4:TheMacroeconomicsofOpenEconomies28July:Chapter18:OpenEconomyMacroeconomics:BasicConceptsQuiz3:July3030July:Chapter19:AMacroeconomicTheoryoftheOpenEconomyPart5:ShortRunEconomicFluctuations30July:Chapter20:AggregateDemandandSupply04Aug:Chapter21:TheImpactofMonetaryandFiscalPolicyonAggregateDemandQuiz4:06Aug06Aug:Chapter22:TheShortRunTradeoffbetweenInflationandUnemploymentFinalExamReview:07AugFinalExam:11Aug3 ExamDates :th Midterm:TuesdayJuly282009.6:00pm7:30pmth Finalexam:TuesdayAugust112009.7pm9.55pmCourseInformation:Alwayscheckhttp://sakai.rutgers.eduforanyannouncements.Also,acoursewebsiteshallbeuploadedsoon.OtherInformationandMakeǦupexam:TherewillbeNOmakeupexams,unlessanextraordinarysituationarisesInthatsituationappropriatedocumentationisrequired.Studentwillreceiveagradeof0foranyexamsmissed.Nomakeupexamfortravelconflict.StudentConductandAcademicIntegrity: Academicintegrityisimportant.CheatingintheexamisconsideredasaseriousviolationandwillbereferredtotheJudicialBoardThefollowingarethelinksfortheuniversity’spoliciesregardingstudentconductandacademicintegrity.Itisthestudents’responsibilitytobeawareoftheuniversity’spolicies.Studentconduct:http://catalogs.rutgers.edu/generated/nbug_current/pg21725.htmlAcademicintegrity:http://catalogs.rutgers.edu/generated/nbug_current/pg21724.htmlLearningGoalsforEconomicsMajors 1.EconomicLiteracyStudentswhocompletethemajorineconomicsshouldunderstandandbeabletoarticulate,bothorallyandinwriting,thecoreeconomicprinciples,conceptsandtheoriesthatform3 Examsdates/timingscanbechangedwithpriornotice
thefoundationformoderneconomicanalysisandeconomicresearch.2.EconomicNumeracyStudentswhocompletetheeconomicsmajorshouldbefamiliarwiththetools,techniquesandmethodsofempiricaleconomics.Theyshouldbeabletoanalyzedatausingcomputerapplicationsandshouldbefamiliarwithregressionmethodsandotherstatisticaltechniques.Theyshouldbeabletoreadandassessgeneralinterestarticlesoneconomictopics.Inaddition,theyshouldbeabletounderstandandevaluatekeyfindingsinpublishedeconomicresearchfromawiderangeofsourcesincludingacademiceconomists,publicpolicy‘thinktanks,’andgovernmentagencies.3.EconomicCitizenshipUponcompletionofthemajorstudentsshouldbeabletoapplytheirunderstandingofcoreconceptsandquantitativetoolstoanalyzeandresearchrealworldproblemsandevaluatealternativeeconomicpolicyproposalsonmicroeconomicandmacroeconomicissues.4.EconomicScholarshipQualifiedmajorsshouldhaveanopportunitythroughsuchavenuesasadvancedcoursework,facultyinteractions,nationalandlocalcompetitionsandhonorscoursesandprogramstoutilizeuptodatemethodologicaltoolsandbecomefullyengagedineconomicresearchandissuesonthefrontiersofeconomics.
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