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Further investigation into restricted Kalman filtering

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  • Pizzinga, Adrian

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.

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  • Pizzinga, Adrian, 2009. "Further investigation into restricted Kalman filtering," Statistics & Probability Letters, Elsevier, vol. 79(2), pages 264-269, January.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:2:p:264-269
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    1. Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178, Decembrie.
    2. J. Durbin & B. Quenneville, 1997. "Benchmarking by State Space Models," International Statistical Review, International Statistical Institute, vol. 65(1), pages 23-48, April.
    3. Doran, Howard E, 1992. "Constraining Kalman Filter and Smoothing Estimates to Satisfy Time-Varying Restrictions," The Review of Economics and Statistics, MIT Press, vol. 74(3), pages 568-572, August.
    4. Pandher, Gurupdesh S, 2002. "Forecasting Multivariate Time Series with Linear Restrictions Using Constrained Structural State-Space Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(4), pages 281-300, July.
    5. Pizzinga, Adrian & Fernandes, Cristiano, 2006. "State Space Models for Dynamic Style Analysis of Portfolios," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 26(1), May.
    6. Doran, Howard E. & Rambaldi, Alicia N., 1997. "Applying linear time-varying constraints to econometric models: With an application to demand systems," Journal of Econometrics, Elsevier, vol. 79(1), pages 83-95, July.
    7. Pizzinga, Adrian & Fernandes, Cristiano & Contreras, Sergio, 2008. "Restricted Kalman filtering revisited," Journal of Econometrics, Elsevier, vol. 144(2), pages 428-429, June.
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    1. Adrian Pizzinga, 2010. "Constrained Kalman Filtering: Additional Results," International Statistical Review, International Statistical Institute, vol. 78(2), pages 189-208, August.

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