Bayesian Prediction Mean Squared Error for State Space Models with Estimated Parameters

DOI10.1111/1467-9892.00182zbMath0958.62086OpenAlexW2114205141MaRDI QIDQ2703256

Avinash Singh, Benoît Quenneville

Publication date: 1 March 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00182

zbMATH Keywords

empirical Bayesian estimationsecond order parametersrandom walk plus noise model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (7)

Small Area Estimation-New Developments and Directions ⋮ Confidence intervals based on the deviance statistic for the hyperparameters in state space models ⋮ Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters ⋮ Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models ⋮ Resampling-based bias-corrected time series prediction ⋮ Estimating the Effect of Parameter Uncertainty in Repeated Sample Surveys ⋮ Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters

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