Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters

DOI10.1016/j.csda.2011.07.010zbMath1239.62112OpenAlexW2049717013MaRDI QIDQ429620

Alejandro Rodríguez, Esther Ruiz Ortega

Publication date: 20 June 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/15743

zbMATH Keywords

state space modelsparameter uncertaintyprediction intervalsNAIRUoutput gap

Mathematics Subject Classification ID

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