Application of the constrained Kalman filter in a monetary policy area

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VAŠÍČEK Osvald DAVID Stanislav

Year of publication 2004
Type Article in Proceedings
Conference Summer School Datastat03 ,Proceedings, Folia Fac.Sci.Nat.Univ.Masaryk.Brunensis,Mathematica 15
MU Faculty or unit

Faculty of Economics and Administration

Field Economy
Keywords Iterative Kalman Filter Smoother; state constraints; estimation
Description 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.
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