Diffuse Kalman filtering with linear constraints on the state parameters
ADRIAN HERINGER PIZZINGA, Marcelo Fernandes · Communication in Statistics- Theory and Methods · 2022
We give a general proof, based on Piet de Jong’s diffuse Kalman filter, that imposing linear constraints on state smoothing is still feasible under diffuse initialization. We also offer simple derivations of existing identities related to the diffuse Kalman filter and smoother.