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

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