a quadratic kalman filter：在最优kalman滤波器.pdfVIP

Journal of Econometrics 187 (2015) 43–56 Contents lists available at ScienceDirect Journal of Econometrics journal homepage: /locate/jeconom A Quadratic Kalman Filter✩,✩✩ Alain Monfort a,b , Jean-Paul Renne b , Guillaume Roussellet b,a,c,∗ a Crest, France b Banque de France, France c Ceremade, France a r t i c l e i n f o a b s t r a c t Article history: We propose a new filtering and smoothing technique for non-linear state-space models. Observed Received 13 March 2014 variables are quadratic functions of latent factors following a Gaussian VAR. Stacking the vector of Received in revised form factors with its vectorized outer-product, we form an augmented state vector whose first two conditional 23 November 2014 moments are known in closed-form. We also provide analytical formulae for the unconditional moments Accepted 1 January 2015 of this augmented vector. Our new Quadratic Kalman Filter (Qkf) exploits these properties to formulate Available online 11 February 2015 fast and simple filtering and smoothing algorithms. A simulation study first emphasizes that the Qkf outperforms the extended and unscented approaches in the filtering exercise showing up to 70% JEL classification: C32 RMSEs improvement of filtered values. Second, it provides evidence that Qkf-based maximum-likelihood C46