Further investigation into restricted Kalman filtering

Adrian Pizzinga

Statistics & Probability Letters, 2009, vol. 79, issue 2, 264-269

Abstract: In this paper I return to the issue of estimating linear state space models with constrained state vectors. My endeavor is towards the following tasks: (i) to give a new elementary derivation for restricted Kalman filtering under augmentation of the measurement equation, (ii) to prove the statistical efficiency due to the imposition of restrictions using a geometrical framework, and (iii) to propose an alternative approach for imposing time-invariant restrictions to the estimation of random walk state vectors.

Date: 2009
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