Confidence intervals based on the deviance statistic for the hyperparameters in state space models

DOI10.1080/03610918.2017.1406503OpenAlexW2775319816MaRDI QIDQ5085913

T. B. Ceccotti, Thiago R. Santos, Glaura C. Franco

Publication date: 30 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2017.1406503

zbMATH Keywords

bootstrapmaximum likelihood estimatorlikelihood ratio testsasymptotic confidence intervals

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Economic time series analysis (91B84)

Uses Software

• Ox
• SsfPack
• bootstrap

Cites Work

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