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

DOI10.1080/03610918.2017.1406503MaRDI QIDQ5085913zbMATH OpenOpenAlexFDO

Authors Thiago R. Santos, T. B. Ceccotti, 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

asymptotic confidence intervalsbootstraplikelihood ratio testsmaximum likelihood estimator

Mathematics Subject Classification ID

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

Cites work

• Applied Asymptotics
• 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 methods: another look at the jackknife
• Bootstrap prediction intervals in state-space models
• Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
• Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter
• Conditioning of Quasi-Newton Methods for Function Minimization
• Confidence Intervals for the Hyperparameters in Structural Models
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• On computing the expected Fisher information matrix for state-space model parameters
• Parametric statistical theory: with the assistance of R. Hamböker
• Statistical algorithms for models in state space using SsfPack 2.2
• The Signed Root Deviance Profile and Confidence Intervals in Maximum Likelihood Analysis
• The “Pegasus” method for computing the root of an equation
• Tracking epidemics with google flu trends data and a state-space SEIR model

Describes a project that uses

Uses Software

• SsfPack
• Ox
• bootstrap

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