Feasible parameter regions for alternative discrete state space models

Autor:	Gael M. Martin, Paul D. Feigin, Phillip Gould, Ralph D. Snyder
Rok vydání:	2008
Předmět:	Statistics and Probability State-space representation Series (mathematics) Autocorrelation Applied mathematics State space Geometry Statistical dispersion Statistics Probability and Uncertainty Representation (mathematics) Mathematics
Zdroj:	Monash University
ISSN:	0167-7152
Popis:	This paper provides a comparison of a parameter-driven and an observation-driven discrete state space model. The two models are shown to have non-overlapping feasible regions for dispersion and first-order autocorrelation, with the region for the parameter-driven model being much larger than that of the observation-driven model, as well as providing a much better representation of the empirical moments of observed count series.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::52be8cb637bb590bb55ba9e74104074c https://doi.org/10.1016/j.spl.2008.05.021 Zobrazit plný text záznamu Full Text from ScienceDirect