Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters
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Publication:5487368
Asymptotic properties of parametric estimators (62F12) Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and prediction (62M20)
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Cites work
- scientific article; zbMATH DE number 3565994 (Why is no real title available?)
- A standard error for the estimated state vector of a state-space model
- Bayesian Versus Frequentist Measures of Error in Small Area Estimation
- Bayesian prediction mean squared error for state space models with estimated parameters
- Biometrika centenary: Nonparametrics
- Reml and best linear unbiased prediction in state space models
- The jackknife and bootstrap
- Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
Cited in
(29)- Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter
- Prediction Mean Squared Error for State Space Models with Estimated Parameters
- Confidence intervals based on the deviance statistic for the hyperparameters in state space models
- Small area estimation of poverty proportions under unit-level temporal binomial-logit mixed models
- Benchmarked estimates in small areas using linear mixed models with restrictions
- Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models
- Inference for the hyperparameters of structural models under classical and Bayesian perspectives: a comparison study
- Comparison of classical and Bayesian approaches for intervention analysis
- Small area estimation under Fay–Herriot models with non-parametric estimation of heteroscedasticity
- Small area shrinkage estimation
- Bias-correction of Kalman filter estimators associated to a linear state space model with estimated parameters
- Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
- A comparison of mean squared error approximations for a small estimated state space model
- Mixed model prediction and small area estimation. (With comments of P. Hall, D. Morales, C. N. Morris, J. N. K. Rao, and J. L. Eltinge)
- Improving timeliness and accuracy of estimates from the UK labour force survey
- Resampling-based bias-corrected time series prediction
- Bootstrap mean squared error of a small-area EBLUP
- Bootstrap for estimating the MSE of the spatial EBLUP
- A small area predictor under area-level linear mixed models with restrictions
- Bayesian prediction mean squared error for state space models with estimated parameters
- Assessing different uncertainty measures of EBLUP: a resampling-based approach
- Empirical best prediction under a nested error model with log transformation
- Bootstrap prediction intervals in state-space models
- Prediction in non-sampled areas under spatial small area models
- Bootstrapping periodic state-space models
- Monetary policy and the term structure of inflation expectations with information frictions
- Bootstrap prediction in unobserved component models
- Analytic and bootstrap approximations of prediction errors under a multivariate Fay-Herriot model
- Estimating the prevalence of anemia rates among children under five in Peruvian districts with a small sample size
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