Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
From MaRDI portal
(Redirected from Publication:429620)
Recommendations
- Bootstrap prediction in unobserved component models
- Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters
- Bootstrap prediction intervals in state-space models
- Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models
- Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter
Cites work
- scientific article; zbMATH DE number 5280146 (Why is no real title available?)
- A State space approach to bootstrapping conditional forecasts in arma models
- A simple and efficient simulation smoother for state space time series analysis
- A standard error for the estimated state vector of a state-space model
- Bayesian prediction mean squared error for state space models with estimated parameters
- Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters
- Bootstrap prediction intervals in state-space models
- Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter
- Computing the mean square error of unobserved components extracted by misspecified time series models
- Multivariate Stochastic Variance Models
- On Gibbs sampling for state space models
- Prediction Mean Squared Error for State Space Models with Estimated Parameters
- Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
Cited in
(16)- Confidence intervals based on the deviance statistic for the hyperparameters in state space models
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- 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
- 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
- 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
- Goodness-of-fit test for stochastic volatility models
- 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
- Bootstrap prediction in unobserved component models
- Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models
This page was built for publication: Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q429620)
