Diffuse Kalman filtering with linear constraints on the state parameters

DOI10.1080/03610926.2022.2084109MaRDI QIDQ6089145zbMATH OpenOpenAlexFDO

Authors Adrian Pizzinga, Marcelo Fernandes

Publication date 17 November 2023

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2022.2084109

zbMATH Keywords

state space modellinear constraintdiffuse initializationdiffuse Kalman filter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35)

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• A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER
• Applying linear time-varying constraints to econometric models: With an application to demand systems
• Diffuse Restricted Kalman Filtering
• Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
• Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series 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
• Introduction to Time Series and Forecasting
• Likelihood functions for state space models with diffuse initial conditions
• Restricted Kalman filtering revisited
• Restricted Kalman filtering. Theory, methods, and application
• SMOOTHING WITH AN UNKNOWN INITIAL CONDITION
• Smoothing and Interpolation with the State-Space Model
• Stochastic processes and filtering theory
• The diffuse Kalman filter
• The elements of operator theory
• The likelihood for a state space model
• Time series analysis by state space methods.

Cited in

(3)

• Diffuse Restricted Kalman Filtering
• INITIALIZATION OF THE KALMAN FILTER WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
• The diffuse Kalman filter

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