Inequality Constrained State-Space Models

Qian, H

Qian, H (reprint author), Mathworks Inc, 55 Ctr St, Natick, MA 01760 USA.

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2019; 37 (2): 350

Abstract

The standard Kalman filter cannot handle inequality constraints imposed on the state variables, as state truncation induces a nonlinear and non-Gaussi......

Full Text Link