Confidence Intervals for the Hyperparameters in Structural Models

DOI10.1080/03610910701812469zbMath1160.62041OpenAlexW2041323786MaRDI QIDQ3625269

Juliana A. Ribeiro, Thiago R. Santos, Frederico R. B. Cruz, Glaura C. Franco

Publication date: 12 May 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910701812469

zbMATH Keywords

nonparametric bootstrapstate space modelsasymptotic confidence intervals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05) Economic time series analysis (91B84)

Related Items (6)

Bias-correction of Kalman filter estimators associated to a linear state space model with estimated parameters ⋮ Confidence intervals based on the deviance statistic for the hyperparameters in state space models ⋮ Direct fitting of dynamic models using integrated nested Laplace approximations -- INLA ⋮ Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models ⋮ A NON‐GAUSSIAN FAMILY OF STATE‐SPACE MODELS WITH EXACT MARGINAL LIKELIHOOD ⋮ Inference for the Hyperparameters of Structural Models Under Classical and Bayesian Perspectives: A Comparison Study

Uses Software

• R
• Ox
• STAMP

Cites Work

• Bootstrap methods: another look at the jackknife
• Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter
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