Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
DOI10.1016/J.CSDA.2011.07.010zbMATH Open1239.62112OpenAlexW2049717013MaRDI QIDQ429620FDOQ429620
Esther Ruiz, Alejandro Rodríguez
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
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Cites Work
- On Gibbs sampling for state space models
- A simple and efficient simulation smoother for state space time series analysis
- Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters
- Multivariate Stochastic Variance Models
- Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
- A standard error for the estimated state vector of a state-space model
- A State space approach to bootstrapping conditional forecasts in arma models
- Prediction Mean Squared Error for State Space Models with Estimated Parameters
- Computing the mean square error of unobserved components extracted by misspecified time series models
- Bayesian prediction mean squared error for state space models with estimated parameters
- Bootstrap prediction intervals in state-space models
- Title not available (Why is that?)
- Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter
Cited In (16)
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Confidence intervals based on the deviance statistic for the hyperparameters in state space models
- Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models
- Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach
- Bootstrap Prediction in Unobserved Component Models
- Bias-correction of Kalman filter estimators associated to a linear state space model with estimated parameters
- A comparison of mean squared error approximations for a small estimated state space model
- On efficient parametric identification methods for linear discrete stochastic systems
- Goodness–of–Fit Test for Stochastic Volatility Models
- A periodic mixed linear state-space model to monthly long-term temperature data
- Estimation of the monthly unemployment rate for six domains through structural time series modelling with cointegrated trends
- A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models
- Construction and Visualization of Confidence Sets for Frequentist Distributional Forecasts
- Heavy-tailed prediction error: a difficulty in predicting biomedical signals of \(1/f\) noise type
- Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters
- Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models
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