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Estimation for a class of generalized state-space time series models

✍ Scribed by T. Fukasawa; I.V. Basawa

Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
185 KB
Volume
60
Category
Article
ISSN
0167-7152

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✦ Synopsis

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 for the Poisson-Gamma model are reported.

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