Diffuse Kalman filtering with linear constraints on the state parameters

DOI10.1080/03610926.2022.2084109OpenAlexW4281721416MaRDI QIDQ6089145FDOQ6089145

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)

Cites Work

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Cited In (3)

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

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