𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On alternative state space representations of time series models

✍ Scribed by Masanao Aoki

Publisher
Elsevier Science
Year
1988
Tongue
English
Weight
691 KB
Volume
12
Category
Article
ISSN
0165-1889

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Two complementary representations of mul
Two complementary representations of multiple time series in state-space innovation forms
✍ Masanao Aoki πŸ“‚ Article πŸ“… 1994 πŸ› John Wiley and Sons 🌐 English βš– 980 KB

## Abstract This paper discusses two alternative innovation representations (forward and backward) of a state space model of a multivariate weakly stationary time series, and suggests estimators of system matrices and innovation noise covariances which are alternative to these based on stochastic r

Estimation for a class of generalized st
Estimation for a class of generalized state-space time series models
✍ T. Fukasawa; I.V. Basawa πŸ“‚ Article πŸ“… 2002 πŸ› Elsevier Science 🌐 English βš– 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