Diffuse Restricted Kalman Filtering

DOI10.1080/03610926.2011.622846zbMath1277.62218MaRDI 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 models; linear restrictions; statistical efficiency; diffuse initialization; general conditional expectation theory; restricted Kalman filtering

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

93E11: Filtering in stochastic control theory

Related Items

Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models, Diffuse Kalman filtering with linear constraints on the state parameters

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