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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.

Suggested Citation

  • 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. J. Durbin & B. Quenneville, 1997. "Benchmarking by State Space Models," International Statistical Review, International Statistical Institute, vol. 65(1), pages 23-48, April.
    2. 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.
    3. 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.
    4. Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178.
    5. 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.
    6. 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.
    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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