Exact Score for Time Series Models in State Space Form
β Scribed by Siem Jan Koopman and Neil Shephard
- Book ID
- 124299874
- Publisher
- Oxford University Press
- Year
- 1992
- Tongue
- English
- Weight
- 396 KB
- Volume
- 79
- Category
- Article
- ISSN
- 0006-3444
- DOI
- 10.2307/2337237
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π SIMILAR VOLUMES
This paper presents a fundamental study of the connection between continuous-and discrete-time systems. Provided is a deΓΏnition for discrete-time models, that is discrete-time systems with a continuous-time counterpart, whose order can be higher than that of the continuous-time system. This deΓΏnitio
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