Restricted Kalman filtering revisited
DOI10.1016/J.JECONOM.2008.04.006zbMATH Open1418.62363OpenAlexW1976310560MaRDI QIDQ295404FDOQ295404
Authors: Adrian Pizzinga, Cristiano Fernandes, Sergio Contreras 
Publication date: 13 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.04.006
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)
Cites Work
- Time series analysis by state space methods
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- Applying linear time-varying constraints to econometric models: With an application to demand systems
- Title not available (Why is that?)
- Smoothing and Interpolation with the State-Space Model
Cited In (6)
- Constrained Kalman filtering: additional results
- Restricted Kalman filtering. Theory, methods, and application
- Further investigation into restricted Kalman filtering
- Diffuse Kalman filtering with linear constraints on the state parameters
- Diffuse Restricted Kalman Filtering
- Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models
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