Diffuse Restricted Kalman Filtering

Adrian Pizzinga
2013 Communications in Statistics - Theory and Methods  
This paper investigates how initial diffuse state vectors affect the use of the Kalman smoother under linear restrictions. The conclusion, which is established under elementary linear and matrix algebra, is that it is still possible to yield restricted smoothed state vectors in the "diffuse" period under quite general conditions.
doi:10.1080/03610926.2011.622846 fatcat:a4ddj365yrhy5jgbivshnn2tu4