Parameter estimation of state space models for univariate observations
This paper contributes to the problem of estimation of state space model parameters by proposing estimators for the mean, the autoregressive parameters and the noise variances which, contrarily to maximum likelihood, may be calculated without assuming any specific distribution for the errors. The es...
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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2010
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| Texto completo: | http://hdl.handle.net/10773/8410 |
| País: | Portugal |
| Oai: | oai:ria.ua.pt:10773/8410 |