2004
Application of the constrained Kalman filter in a monetary policy area
VAŠÍČEK, Osvald and Stanislav DAVIDBasic information
Original name
Application of the constrained Kalman filter in a monetary policy area
Name in Czech
Aplikace Kalmanova filtru s omezením v oblasti monetární politiky
Authors
VAŠÍČEK, Osvald and Stanislav DAVID
Edition
Brno, Summer School Datastat03 ,Proceedings, Folia Fac.Sci.Nat.Univ.Masaryk.Brunensis,Mathematica 15, p. 67-76, 10 pp. 2004
Publisher
Masaryk University
Other information
Language
English
Type of outcome
Proceedings paper
Field of Study
50200 5.2 Economics and Business
Country of publisher
Czech Republic
Confidentiality degree
is not subject to a state or trade secret
RIV identification code
RIV/00216224:14560/04:00011487
Organization unit
Faculty of Economics and Administration
ISBN
80-210-3564-1
Keywords in English
Iterative Kalman Filter Smoother; state constraints; estimation
Changed: 31/5/2005 12:38, Ing. Stanislav David
In the original language
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.
In Czech
Iterační Kalmanův filtr vyhlazovač je použit k odhadu stavů dynamického systému. Tento článek prezentuje analytickou metodu, jak do Kalmanova filtru přidat omezení stavů. Tuto metodu vyvinul Dan Simon, Donald L. Simon a Tien Li Chia. Toto rozšíření Kalmanova Filteru má různé použití. V článku je na makroekonomické aplikaci úspěšně prezentována efektivita této metody.
Links
| GA402/02/0393, research and development project |
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