A comparison of mean squared error approximations for a small estimated state space model

DOI10.1007/S101820400174zbMATH Open1105.62112OpenAlexW2039888752MaRDI QIDQ862772

Christian Schumacher

Publication date: 24 January 2007

Published in: AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s101820400174

zbMATH Keywords

Kalman filterfilteringmaximum likelihoodstate space modelsmean squared errorsestimation uncertainty

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05)

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