Restricted Kalman Filtering

Restricted Kalman Filtering: Theory, Methods, and Application

by Pizzinga, Adrian

Type Book
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Résumé : ​​​​​​​​ ​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 a…

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Title Statements

  • Full title :Restricted Kalman Filtering : Theory, Methods, and Application / by Adrian Pizzinga.

Summary

Résumé : ​​​​​​​​ ​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 - 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).

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Edition Statements

  • Publication Date:2012.

Publication Statements

Notes

Titre de l'écran-titre (visionné le 27 sept. 2012).

The Physical Object

  • Description:1 online resource

Edition Identifiers

  • ISBN:9781461447382, 1461447380
  • oclc:ocn833108947
  • LC Classification:QA276-280
  • Dewey Decimal:515/.642

Table of Contents

Introduction -- Linear state space models and the Kalman filtering: a briefing -- Restricted Kalman filtering: theoretical issues -- Restricted Kalman filtering: methodological issues -- Applications -- Further Extensions.

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Subjects

e-books Economics Economics -- Statistics Économie politique -- Statistiques Filtre de Kalman Kalman filtering Livres électroniques Livres numériques Mathematical statistics Statistics Statistique Statistique mathématique

Writers

Pizzinga, Adrian

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