A Quadratic Kalman Filter
二次卡尔曼滤波器
We propose a new filtering and smoothing technique for non-linear state-space models. Observed variables are quadratic functions of latent factors following a Gaussian VAR. Stacking the vector of factors with its vectorized outer-product, we form an augmented state vector whose first two conditional moments are known in closed-form. We also provide analytical formulae for the unconditional moments of this augmented vector. Our new Quadratic Kalman Filter (Qkf) exploits these…