SpringerBriefs in Statistics

Restricted Kalman Filtering

Theory, Methods, and Application

Authors: Pizzinga, Adrian

  • ​​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
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eBook $29.99
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  • ISBN 978-1-4614-4738-2
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  • Immediate eBook download after purchase
Softcover $39.95
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  • ISBN 978-1-4614-4737-5
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About this book

​​​​​​​​ ​In statistics, the Kalman filter is a mathematical method whose purpose is to use a series of measurements observed over time, containing random variations and other inaccuracies, and produce estimates that tend to be closer to the true unknown values than those that would be based on a single measurement alone.  This Brief offers developments on Kalman filtering subject to general linear constraints. There are essentially three types of contributions: new proofs for results already established; new results within the subject; and applications in investment analysis and macroeconomics, where the proposed methods are illustrated and evaluated. The Brief has a short chapter on linear state space models and the Kalman filter, aiming to make the book self-contained and to give a quick reference to the reader (notation and terminology). The prerequisites would be a contact with time series analysis in the level of Hamilton (1994) or Brockwell & Davis (2002) and also with linear state models and the Kalman filter – each of these books has a chapter entirely dedicated to the subject. The book is intended for graduate students, researchers and practitioners in statistics (specifically: time series analysis and econometrics).

About the authors

Adrian Pizzinga, Department of Statistics, Institute of Mathematics and Statistics, Fluminense Federal University (UFF) Rio de Janeiro, Brazil

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


Table of contents (6 chapters)

Buy this book

eBook $29.99
price for USA (gross)
  • ISBN 978-1-4614-4738-2
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $39.95
price for USA
  • ISBN 978-1-4614-4737-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Restricted Kalman Filtering
Book Subtitle
Theory, Methods, and Application
Authors
Series Title
SpringerBriefs in Statistics
Series Volume
12
Copyright
2012
Publisher
Springer-Verlag New York
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-1-4614-4738-2
DOI
10.1007/978-1-4614-4738-2
Softcover ISBN
978-1-4614-4737-5
Series ISSN
2191-544X
Edition Number
1
Number of Pages
X, 62
Number of Illustrations and Tables
9 b/w illustrations
Topics