The Pseudo-Information Filter

10 Pages Posted: 8 Jun 2012  

Seth Pruitt

Arizona State University (ASU) - Finance Department

Date Written: June 8, 2012

Abstract

The pseudo-information filter is defined in order to solve a linear state state model. The filter offers significant computational advantages over the Kalman filter when the data are high-dimensional.

Keywords: Moore-Penrose pseudo-inverse, information filter, Kalman filter, high dimensional, pseudo-information filter

JEL Classification: C60, C61, C65

Suggested Citation

Pruitt, Seth, The Pseudo-Information Filter (June 8, 2012). Available at SSRN: https://ssrn.com/abstract=2080107 or http://dx.doi.org/10.2139/ssrn.2080107

Seth Pruitt (Contact Author)

Arizona State University (ASU) - Finance Department ( email )

W. P. Carey School of Business
PO Box 873906
Tempe, AZ 85287-3906
United States

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