Restricted Kalman filtering revisited

DOI10.1016/J.JECONOM.2008.04.006MaRDI QIDQ295404zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

state space modelHilbert spacelinear restrictionsorthogonal projection

Mathematics Subject Classification ID

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)

Recommendations

• Further investigation into restricted Kalman filtering
• Diffuse Restricted Kalman Filtering
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Cites work

• scientific article; zbMATH DE number 1614156 (Why is no real title available?)
• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 65796 (Why is no real title available?)
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• Applying linear time-varying constraints to econometric models: With an application to demand systems
• Smoothing and Interpolation with the State-Space Model
• Time series analysis by state space methods

Cited in

(7)

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

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