I was intending to develop a paper work using Kalman Filter, but I have a few questions about this subject:
What are the main differences between a simple AR Model and Kalman Filter? Would it be at the state equation? Because at the observation equation, we do the same kind of parameter estimation, don't we? If I was not right, what is the Kalman Filter benefit for parameter estimation?
And between Dynamic Regression and Kalman Filter?
What are the main advantages and disadvantages from Kalman Filter?