Further investigation into restricted Kalman filtering

DOI10.1016/j.spl.2008.08.005zbMath1156.62063OpenAlexW2025072603MaRDI QIDQ1003434

Adrian Pizzinga

Publication date: 4 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.08.005

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sums of independent random variables; random walks (60G50)

Related Items (3)

Diffuse Kalman filtering with linear constraints on the state parameters ⋮ Diffuse Restricted Kalman Filtering ⋮ Linear minimum mean square error filtering with stochastic linear equality constraints

Uses Software

• astsa

Cites Work

• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Restricted Kalman filtering revisited
• Applying linear time-varying constraints to econometric models: With an application to demand systems
• Smoothing and Interpolation with the State-Space Model
• Semi-strong dynamic style analysis with time-varying selectivity measurement: Applications to Brazilian exchange-rate funds
• Two Methods for Examining the Stability of Regression Coefficients
• Benchmarking by State Space Models
• On Kalman Filtering With Nonlinear Equality Constraints
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