Diffuse Kalman filtering with linear constraints on the state parameters

DOI10.1080/03610926.2022.2084109OpenAlexW4281721416MaRDI QIDQ6089145

Unnamed Author, Adrian Pizzinga

Publication date: 17 November 2023

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

Full work available at URL: https://doi.org/10.1080/03610926.2022.2084109

zbMATH Keywords

state space modellinear constraintdiffuse initializationdiffuse Kalman filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal detection and filtering (aspects of stochastic processes) (60G35)

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