Diffuse Restricted Kalman Filtering

DOI10.1080/03610926.2011.622846MaRDI QIDQ2865269zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 5040166 (Why is no real title available?)
• Applying linear time-varying constraints to econometric models: With an application to demand systems
• Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
• FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
• Fast likelihood evaluation and prediction for nonstationary state space models
• Filtering and smoothing of state vector for diffuse state-space models
• Further investigation into restricted Kalman filtering
• INITIALIZATION OF THE KALMAN FILTER WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
• INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
• Mathematical Statistics
• Restricted Kalman filtering revisited
• SMOOTHING WITH AN UNKNOWN INITIAL CONDITION
• The diffuse Kalman filter
• The likelihood for a state space model
• Time series analysis by state space methods
• Time series: theory and methods.

Cited in

(6)

• Restricted Kalman filtering. Theory, methods, and application
• Restricted Kalman filtering revisited
• Extensions to the invariance property of maximum likelihood estimation for affine-transformed state-space models
• Further investigation into restricted Kalman filtering
• Diffuse Kalman filtering with linear constraints on the state parameters
• Restricted Kalman filter applied to dynamic style analysis of actuarial funds

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