Publicação
A note on prediction bias for state space models with estimated parameters
| Resumo: | This paper aims to discuss some problems on state space models with estimated parameters. While existing research focus on the prediction mean squared error, this work presents some results on bias propagation into forecast and filter predictions when the mean vector of the state is taking with an estimation bias, namely, non recursive analytical expression for them. In particular, it is discussed the impact of mean bias in invariant state space models. |
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| Autores principais: | Monteiro, Magda |
| Outros Autores: | Costa, Marco |
| Assunto: | State space model Prediction bias Kalman filter Stationary state |
| Ano: | 2012 |
| País: | Portugal |
| Tipo de documento: | documento de conferência |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Aveiro |
| Idioma: | inglês |
| Origem: | RIA - Repositório Institucional da Universidade de Aveiro |
| Resumo: | This paper aims to discuss some problems on state space models with estimated parameters. While existing research focus on the prediction mean squared error, this work presents some results on bias propagation into forecast and filter predictions when the mean vector of the state is taking with an estimation bias, namely, non recursive analytical expression for them. In particular, it is discussed the impact of mean bias in invariant state space models. |
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