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State space modeling of time series: A review essay

โœ Scribed by Francis X. Diebold


Publisher
Elsevier Science
Year
1989
Tongue
English
Weight
943 KB
Volume
13
Category
Article
ISSN
0165-1889

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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