Restricted Kalman filtering revisited
We propose a more compact and general derivation of results concerning the estimation of linear state space models with linear restrictions in the state vector. The resulting methodological contributions are that the restricted Kalman filtering is valid regardless of the type of linear restriction being considered, and that linear restrictions can be carried out by any type of state smoothing.
Year of publication: |
2008
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Authors: | Pizzinga, Adrian ; Fernandes, Cristiano ; Contreras, Sergio |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 144.2008, 2, p. 428-429
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Publisher: |
Elsevier |
Saved in:
Online Resource
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