Publication details

Monetary Policy Application of the Constrained Kalman Filter

Authors

DAVID Stanislav VAŠÍČEK Osvald

Year of publication 2004
Type Article in Proceedings
Conference PROCEEDINGS OF THE 22ND INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2004
MU Faculty or unit

Faculty of Economics and Administration

Citation
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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