Colored Tobit Kalman filter

@article{Loumponias2020ColoredTK,
  title={Colored Tobit Kalman filter},
  author={Kostas Loumponias},
  journal={Communications in Statistics - Theory and Methods},
  year={2020},
  volume={52},
  pages={1533 - 1547}
}
  • K. Loumponias
  • Published 30 July 2020
  • Engineering, Mathematics
  • Communications in Statistics - Theory and Methods
Abstract This article deals with the Tobit Kalman filtering (TKF) process when the one-dimensional measurements are censored and the noises of the state-space model are colored. Two improvements of the standard TKF process are proposed. Firstly, the exact moments of the censored measurements are calculated via the moment generating function of the censored measurements. Secondly, colored noises are considered in the proposed method in order to tackle real-life problems, where the white noises… 
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