  This paper concerns Kalman filtering when the measurements of the process are
censored. The censored measurements are addressed by the Tobit model of Type I
and are one-dimensional with two censoring limits, while the (hidden) state
vectors are multidimensional. For this model, Bayesian estimates for the state
vectors are provided through a recursive algorithm of Kalman filtering type.
Experiments are presented to illustrate the effectiveness and applicability of
the algorithm. The experiments show that the proposed method outperforms other
filtering methodologies in minimizing the computational cost as well as the
overall Root Mean Square Error (RMSE) for synthetic and real data sets.
