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State-space dynamics distance for clustering sequential data

✍ Scribed by Darío García-García; Emilio Parrado-Hernández; Fernando Diaz-de-Maria


Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
303 KB
Volume
44
Category
Article
ISSN
0031-3203

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## Abstract This paper discusses the estimation of a class of nonlinear state space models including nonlinear panel data models with autoregressive error components. A health economics example illustrates the usefulness of such models. For the approximation of the likelihood function, nonlinear fi