Diffuse Restricted Kalman Filtering

DOI10.1080/03610926.2011.622846zbMath1277.62218OpenAlexW2059807327MaRDI QIDQ2865269

Adrian Pizzinga

Publication date: 29 November 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.622846

zbMATH Keywords

state space modelslinear restrictionsstatistical efficiencydiffuse initializationgeneral conditional expectation theoryrestricted Kalman filtering

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11)

Related Items (2)

Diffuse Kalman filtering with linear constraints on the state parameters ⋮ Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Restricted Kalman filtering revisited
• Further investigation into restricted Kalman filtering
• Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
• The diffuse Kalman filter
• Time series: theory and methods.
• Applying linear time-varying constraints to econometric models: With an application to demand systems
• FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
• SMOOTHING WITH AN UNKNOWN INITIAL CONDITION
• The likelihood for a state space model
• INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
• Fast likelihood evaluation and prediction for nonstationary state space models
• Mathematical Statistics
• Filtering and smoothing of state vector for diffuse state-space models
• INITIALIZATION OF THE KALMAN FILTER WITH PARTIALLY DIFFUSE INITIAL CONDITIONS

This page was built for publication: Diffuse Restricted Kalman Filtering