Constrained Kalman Filtering: Additional Results |
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Authors: | Adrian Pizzinga |
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Institution: | Financial and Actuarial Risk Management Institute of Catholic University of Rio de Janeiro (IAPUC) E-mail: adrianhpster@gmail.com |
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Abstract: | This paper deals with linear state space modelling subject to general linear constraints on the state vector. The discussion concentrates on four topics: the constrained Kalman filtering versus the recursive restricted least squares estimator; a new proof of the constrained Kalman filtering under a conditional expectation framework; linear constraints under a reduced state space modelling; and state vector prediction under linear constraints. The techniques proposed are illustrated in two real problems. The first problem is related to investment analysis under a dynamic factor model, whereas the second is about making constrained predictions within a GDP benchmarking estimation. |
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Keywords: | Constrained Kalman filtering linear constraints state space models |
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