| Full text | |
| Author(s): |
Pizzinga, Adrian
;
Fernandes, Marcelo
Total Authors: 2
|
| Document type: | Journal article |
| Source: | COMMUNICATIONS IN STATISTICS-THEORY AND METHODS; v. N/A, p. 10-pg., 2022-05-30. |
| 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. (AU) | |
| FAPESP's process: | 19/05798-7 - Financial econometrics at the high frequency |
| Grantee: | Marcelo Fernandes |
| Support Opportunities: | Regular Research Grants |