The Pseudo-Information Filter
10 Pages Posted: 8 Jun 2012
Date Written: June 8, 2012
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: Suggested Citation