Restricted Kalman filtering: theory, methods, and application
In statistics, the Kalman filter is a mathematical method whose purpose is to use a series of measurements observed over time, containing random variations℗ and other inaccuracies, and produce estimates that tend to be closer to the true unknown values than those that would be based on a single measurement alone. ℗ This Brief℗ offers developments on Kalman filtering subject to general linear constraints. There are essentially three types of contributions: new proofs for results already establis…
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- Full title :Restricted Kalman filtering : theory, methods, and application / Adrian Pizzinga.
Summary
In statistics, the Kalman filter is a mathematical method whose purpose is to use a series of measurements observed over time, containing random variations℗ and other inaccuracies, and produce estimates that tend to be closer to the true unknown values than those that would be based on a single measurement alone. ℗ This Brief℗ offers developments on Kalman filtering subject to general linear constraints. There are essentially three types of contributions: new proofs for results already established; new results within the subject; and applications in investment analysis and macroeconomics, where the proposed methods are illustrated and evaluated. The Brief℗ has a short chapter on linear state space models and the Kalman filter, aiming to make the book self-contained and to give a quick reference to the reader (notation and terminology). The prerequisites would be a contact with time series analysis in the level of Hamilton (1994) or Brockwell & Davis (2002) and also with linear state models and the Kalman filter <U+0080>́<U+0093> each of these books has a chapter entirely dedicated to the subject. The book is intended for graduate students, researchers and practitioners in statistics (specifically: time series analysis and econometrics).
Read More ↓Edition Statements
- Publication Date:©2012.
Publication Statements
- Publisher(s):Springer
- Place of Publication:New York
- Language:eng
- Publication Date:©2012.
The Physical Object
- Description:xi, 57 pages : : illustrations ; : 24 cm.
Edition Identifiers
- ISBN:9781461447375, 1461447372, 9781461447382, 1461447380
- DOI:10.1007/978-1-4614-4738-2
- oclc:ocn811618426
- LC Classification:QA402.3
- Dewey Decimal:515/.642
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