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@inproceedings{556311,
author = {Vašíček, Osvald and David, Stanislav},
address = {Praha},
booktitle = {Mathematical Methods in Economics 2004},
keywords = {Iterative Kalman Filter Smoother; state constraints; estimation},
language = {eng},
location = {Praha},
isbn = {80-210-3496-3},
pages = {63-68},
publisher = {Masaryk University},
title = {Monetary Policy Application of the Constrained Kalman Filter},
year = {2004}
}
TY - JOUR
ID - 556311
AU - Vašíček, Osvald - David, Stanislav
PY - 2004
TI - Monetary Policy Application of the Constrained Kalman Filter
PB - Masaryk University
CY - Praha
SN - 8021034963
KW - Iterative Kalman Filter Smoother
KW - state constraints
KW - estimation
N2 - Iterative Kalman Filter Smoother is used to estimate states of the dynamic system. This paper presents an analytic method of incorporating state constraints into the Kalman Filter as it was researched by Dan Simon, Donald L. Simon and Tien Li Chia. This extension of the Kalman Filter has various applications. The presented macroeconomic application successfully demonstrates the effectiveness of these methods.
ER -
VAŠÍČEK, Osvald and Stanislav DAVID. Monetary Policy Application of the Constrained Kalman Filter. In \textit{Mathematical Methods in Economics 2004}. Praha: Masaryk University, 2004, p.~63-68, 5 pp. ISBN~80-210-3496-3.
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