Computing the covariance matrix of QML estimators for a state space model

Demetrios Papanastassiou

Statistics & Probability Letters, 2006, vol. 76, issue 10, 1001-1006

Abstract: An algorithm is presented for computing alternative expressions for the covariance matrix of the QML estimators for a stationary linear non-Gaussian state space model. We develop expressions for higher order theoretical autocovariances and Kalman filter recursions. A simulation study assesses the accuracy of the alternative approximations.

Keywords: Covariance; matrix; Kalman; filter; Higher; order; moments (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (1)

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