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A STATE-SPACE MODEL FOR UNIVARIATE ORDINAL-VALUED TIME SERIES

โœ Scribed by MARK RIZZARDI


Book ID
118096244
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
461 KB
Volume
21
Category
Article
ISSN
0890-8575

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โœ T. Fukasawa; I.V. Basawa ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 185 KB

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