Restricted Kalman filtering revisited

DOI10.1016/j.jeconom.2008.04.006zbMath1418.62363OpenAlexW1976310560MaRDI QIDQ295404

Cristiano Fernandes, Adrian Pizzinga, Sergio Contreras

Publication date: 13 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.04.006

zbMATH Keywords

Hilbert spaceorthogonal projectionstate space modellinear restrictions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11)

Related Items (4)

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

Cites Work

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• Applying linear time-varying constraints to econometric models: With an application to demand systems
• Smoothing and Interpolation with the State-Space Model

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