Estimation for a class of generalized st
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T. Fukasawa; I.V. Basawa
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Article
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2002
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Elsevier Science
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English
⚖ 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