Diffuse Kalman filtering with linear constraints on the state parameters

Autor(es)

Pizzinga, Adrian ; Fernandes, Marcelo

• Tipo de documento: Artigo Científico
• Fonte: COMMUNICATIONS IN STATISTICS-THEORY AND METHODS; v. N/A, p. 10-pg., 2022-05-30.

Resumo

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)

• Processo FAPESP: 19/05798-7 - Econometria financeira em alta frequência
• Beneficiário: Marcelo Fernandes
• Modalidade de apoio: Auxílio à Pesquisa - Regular