State Space Estimation: from Kalman Filter Back to Least Squares
This note reviews a direct least squares estimation of a state space model and highlights its advantages over the standard Kalman filter in some applications. Although there is a close relationship between these two concepts, dual understanding of the estimation problem seems to be little appreciate...
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| Format: | Article |
| Language: | English |
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Czech Statistical Office
2023-06-01
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| Series: | Statistika: Statistics and Economy Journal |
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| Online Access: | https://www.czso.cz/documents/10180/192164338/32019723q2_235_plasil.pdf/e61d7cf3-071b-4588-8c42-0003a0e2f352?version=1.3 |
| _version_ | 1827910454555443200 |
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| author | Miroslav Plašil |
| author_facet | Miroslav Plašil |
| author_sort | Miroslav Plašil |
| collection | DOAJ |
| description | This note reviews a direct least squares estimation of a state space model and highlights its advantages over the standard Kalman filter in some applications. Although there is a close relationship between these two concepts, dual understanding of the estimation problem seems to be little appreciated by the mainstream econometric literature as well as applied researchers. Due to computational and theoretical advancements, the least squares estimation of a state space model has become a viable alternative in many fields, showing great potential in solving otherwise difficult problems. This note gathers and discusses some possible applications to illustrate the point and contribute to their wider use in practice. |
| first_indexed | 2024-03-13T01:50:48Z |
| format | Article |
| id | doaj.art-ac95542e73044b89a9994dd643aff900 |
| institution | Directory Open Access Journal |
| issn | 0322-788X 1804-8765 |
| language | English |
| last_indexed | 2024-03-13T01:50:48Z |
| publishDate | 2023-06-01 |
| publisher | Czech Statistical Office |
| record_format | Article |
| series | Statistika: Statistics and Economy Journal |
| spelling | doaj.art-ac95542e73044b89a9994dd643aff9002023-07-02T16:49:47ZengCzech Statistical OfficeStatistika: Statistics and Economy Journal0322-788X1804-87652023-06-01103223524510.54694/stat.2023.3State Space Estimation: from Kalman Filter Back to Least SquaresMiroslav Plašil0 Prague University of Economics and Business, Prague, Czech RepublicThis note reviews a direct least squares estimation of a state space model and highlights its advantages over the standard Kalman filter in some applications. Although there is a close relationship between these two concepts, dual understanding of the estimation problem seems to be little appreciated by the mainstream econometric literature as well as applied researchers. Due to computational and theoretical advancements, the least squares estimation of a state space model has become a viable alternative in many fields, showing great potential in solving otherwise difficult problems. This note gathers and discusses some possible applications to illustrate the point and contribute to their wider use in practice.https://www.czso.cz/documents/10180/192164338/32019723q2_235_plasil.pdf/e61d7cf3-071b-4588-8c42-0003a0e2f352?version=1.3multi-objective least squaresstate space modelkalman filter |
| spellingShingle | Miroslav Plašil State Space Estimation: from Kalman Filter Back to Least Squares Statistika: Statistics and Economy Journal multi-objective least squares state space model kalman filter |
| title | State Space Estimation: from Kalman Filter Back to Least Squares |
| title_full | State Space Estimation: from Kalman Filter Back to Least Squares |
| title_fullStr | State Space Estimation: from Kalman Filter Back to Least Squares |
| title_full_unstemmed | State Space Estimation: from Kalman Filter Back to Least Squares |
| title_short | State Space Estimation: from Kalman Filter Back to Least Squares |
| title_sort | state space estimation from kalman filter back to least squares |
| topic | multi-objective least squares state space model kalman filter |
| url | https://www.czso.cz/documents/10180/192164338/32019723q2_235_plasil.pdf/e61d7cf3-071b-4588-8c42-0003a0e2f352?version=1.3 |
| work_keys_str_mv | AT miroslavplasil statespaceestimationfromkalmanfilterbacktoleastsquares |