ESTIMATION OF FIRMS EFFICIENCIES USING A KALMAN FILTER AND STOCHASTIC EFFICIENCY MODEL

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概要

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• The efficiencies of firms should be evaluated, based on their historical financial data. Here a process for evaluation is proposed. Each historical data set is reduced to a distribution function with a mean and a variance estimated by Kalman filter. Then, a stochastic efficiency model is applied to this reduced data. Then a new efficiency measure is proposed and compared with existing measures. An application is made to three kinds of firms.

• 社団法人日本オペレーションズ・リサーチ学会の論文

著者

• Hoshino Kenichi

  Seikei University

• Ueda Tohru

  Seikei Univ.

関連論文

• ESTIMATION OF FIRMS EFFICIENCIES USING A KALMAN FILTER AND STOCHASTIC EFFICIENCY MODEL
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