A note on prediction bias for state space models with estimated parameters
This paper aims to discuss some problems on state space models with estimated parameters. While existing research focus on the prediction mean squared error, this work presents some results on bias propagation into forecast and filter predictions when the mean vector of the state is taking with an e...
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| Formato: | conferenceObject |
| Idioma: | eng |
| Publicado em: |
2012
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| Texto completo: | http://hdl.handle.net/10773/9187 |
| País: | Portugal |
| Oai: | oai:ria.ua.pt:10773/9187 |