Diffuse Kalman filtering with linear constraints on the state parameters

Adrian Pizzinga and Marcelo Fernandes

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 24, 8884-8893

Abstract: We give a general proof, based on Piet de Jong’s diffuse Kalman filter, that imposing linear constraints on state smoothing is still feasible under diffuse initialization. We also offer simple derivations of existing identities related to the diffuse Kalman filter and smoother.

Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2022.2084109 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:52:y:2023:i:24:p:8884-8893

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2022.2084109

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().