A comparison of mean squared error approximations for a small estimated state space model*
โ Scribed by Schumacher, Christian
- Publisher
- Springer
- Year
- 2004
- Tongue
- German
- Weight
- 252 KB
- Volume
- 88
- Category
- Article
- ISSN
- 0002-6018
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๐ SIMILAR VOLUMES
Hall and Hart (1990) proved that the mean integrated squared error (MISE) of a marginal kernel density estimator from an infinite moving average process X1, )(2 .... may be decomposed into the sum of MISE of the same kernel estimator for a random sample of the same size and a term proportional to th
State-space models with exponential and conjugate exponential family densities are introduced. Examples include Poisson-Gamma, Binomial-Beta, Gamma-Gamma and Normal-Normal processes. Maximum likelihood and quasilikelihood estimators and their properties are discussed. Results from a simulation study