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Restricted Kalman Filtering

Part of the SpringerBriefs in Statistics Book Series (volume 12)

DOI: 10.1007/978-1-4614-4738-2

ISBN: 978-1-4614-4737-5

Publisher: Springer New York - Springer Journals

Jul 5, 2012

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Introduction

Pizzinga, Adrian

Pages: 1 –5

[In some relevant practical situations in areas such as economics, finance, actuarial science, and engineering, some state space models (Harvey 1989; Brockwell and Davis 1991; and Durbin and Koopman 2001) would make more sense if they were estimated under some meaningful restrictions on the state...
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Linear State Space Models and Kalman Filtering

Pizzinga, Adrian

Pages: 7 –9

[A linear wide-sense state space model for an observable p-variate stochastic process Yt, defined on an appropriate probability space \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy}...
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Restricted Kalman Filtering: Theoretical Issues

Pizzinga, Adrian

Pages: 11 –25

[This entire chapter will be devoted to a discussion of several topics concerning the theory of imposing linear restrictions enunciated under a quite general form in (2.5) from Assumption 2.1. In Sect. 3.1, I will present and compare three different derivations of the restricted Kalman updating...
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Restricted Kalman Filtering: Methodological Issues

Pizzinga, Adrian

Pages: 27 –33

[This chapter is concerned with some methods for imposing linear restrictions in state space modeling. The plan I will follow is this. In Sect. 4.1, I discuss an alternative restricted Kalman filtering that is indicated for situations where the linear restrictions are time-invariant and the state...
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Applications

Pizzinga, Adrian

Pages: 35 –52

[Following the presentation and discussion of several theoretical and methodological issues of previous chapters, this chapter will be devoted entirely to some practical examples, where the two methods from Chap. 4 – reduced restricted Kalman filtering and the restricted Kalman prediction...
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Further Extensions

Pizzinga, Adrian

Pages: 53 –54

[At the end of this book, I list some potential research themes about restricted Kalman filtering. Some of them may already be under investigation.]

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