Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters

DOI10.1111/j.1467-9892.2005.00448.xzbMath1097.62086OpenAlexW1991793715MaRDI QIDQ5487368

Richard Tiller, Danny Pfeffermann

Publication date: 19 September 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/9731/1/9731-01.pdf

zbMATH Keywords

predictionmean squared errorKalman filterparametric bootstrap

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09)

Related Items (22)

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Uses Software

• STAMP

Cites Work

• Unnamed Item
• A standard error for the estimated state vector of a state-space model
• The jackknife and bootstrap
• Bayesian Prediction Mean Squared Error for State Space Models with Estimated Parameters
• Biometrika Centenary: Nonparametrics
• Bayesian Versus Frequentist Measures of Error in Small Area Estimation
• Reml and best linear unbiased prediction in state space models
• Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives

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