RDP 2011-01: Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds
Equation (B1)
x
s
=
e
−
K
(
s
−
t
)
(
x
t
+
∫
t
s
e
K
(
u
−
t
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K
μ
d
u
+
∫
t
s
e
K
(
u
−
t
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Σ
d
B
u
)
D
_
_
e
−
K
(
s
−
t
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x
t
+
(
I
−
e
−
K
(
s
−
t
)
)
μ
+
ε
t
,
s
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