ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL
type: Item
instance of: scholarly article
title: ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL
zbMATH Open document ID: 0702.62082
author: N. G. Shephard
author: Andrew C. Harvey
published in: Journal of Time Series Analysis
publication date: 1990-01-01T00:00:00Z
Mathematics Subject Classification ID: 62M09
zbMATH DE Number: 4151665
zbMATH Keywords: boundary estimates
zbMATH Keywords: non-invertibility
zbMATH Keywords: structural time series models
zbMATH Keywords: local level model
zbMATH Keywords: deterministic level
zbMATH Keywords: signal-to-noise ratio
zbMATH Keywords: maximum likelihood estimator
zbMATH Keywords: initial conditions
MaRDI profile type: MaRDI publication profile
full work available at URL: j.1467-9892.1990.tb00062.x
OpenAlex ID: W2018810989
cites work: Q5631966
cites work: Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
cites work: Estimation in the Presence of Stochastic Parameter Variation
cites work: Co-Integration and Error Correction: Representation, Estimation, and Testing
cites work: The Effects of Seat Belt Legislation on British Road Casualties: A Case Study in Structural Time Series Modelling
cites work: Optimal Properties of Exponentially Weighted Forecasts
cites work: Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
cites work: Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle
DOI: 10.1111/J.1467-9892.1990.TB00062.X
Recommended article: SPECTRAL MAXIMUM LIKELIHOOD ESTIMATION OF A SIGNAL-TO-NOISE RATIO LYING IN THE VICINITY OF ZERO
Recommended article: Q4538018
Recommended article: ASYMPTOTICS OF ML ESTIMATOR FOR REGRESSION MODELS WITH A STOCHASTIC TREND COMPONENT
Recommended article: On misspecifications in regularity and properties of estimators
Recommended article: Uniqueness of maximum-likelihood estimates of parameters of stochastic systems (The problem of local extrema)
description: scientific article; zbMATH DE number 4151665