Restricted Kalman Filtering : Theory, Methods, , Pizzinga, Adrian<-

Restricted Kalman FilteringTheory, Methods, and Application\nAuthor(s): Adrian Pizzinga\nFormat: Paperback\nPublisher: Springer-Verlag New York Inc., United States\nImprint: Springer-Verlag New York Inc.\nISBN-13: 9781461447375, 978-1461447375\nSynopsis\n???????? ?In statistics, the Kalman filter is a mathematical method whose purpose is to use a series of measurements observed over time, containing random variationsand 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 Briefoffers 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 Briefhas a short chapter on linear state space models and the Kalman filter, aimi.