Overview
- Provides an extensive review of linear state models subject to constraints on the state vector
- Contains new proofs for existing results on the subject
- Provides new findings useful in understanding state space models subject to linear restrictions
- Includes real examples in economics and finance that illustrate the new techniques
- Includes supplementary material: sn.pub/extras
- Includes supplementary material: sn.pub/extras
Part of the book series: SpringerBriefs in Statistics (BRIEFSSTATIST, volume 12)
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Table of contents (6 chapters)
Keywords
About this book
Reviews
...studies Kalman filters that have a linear restriction at each of the discrete time points...The areas of application include, but are not limited to, Quality Control, Satellite Tracking, Navigation, and Econometrics...This book is useful because it summarizes important results in the literature about restricted Kalman filters, much of which is the author’s own work. It has a good set of references for readers who wish to learn about the Kalman filter. It gives good examples of applications to econometrics...This book would be especially useful to econometricians with knowledge of the Kalman filter and with a strong mathematical background.
Technometrics 56:1 2014
Authors and Affiliations
About the author
Bibliographic Information
Book Title: Restricted Kalman Filtering
Book Subtitle: Theory, Methods, and Application
Authors: Adrian Pizzinga
Series Title: SpringerBriefs in Statistics
DOI: https://doi.org/10.1007/978-1-4614-4738-2
Publisher: Springer New York, NY
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Science+Business Media, LLC, part of Springer Nature 2012
Softcover ISBN: 978-1-4614-4737-5Published: 24 July 2012
eBook ISBN: 978-1-4614-4738-2Published: 25 July 2012
Series ISSN: 2191-544X
Series E-ISSN: 2191-5458
Edition Number: 1
Number of Pages: X, 62
Number of Illustrations: 9 b/w illustrations
Topics: Statistical Theory and Methods, Statistics, general, Statistics for Business, Management, Economics, Finance, Insurance