Estimation of variance components in dynamic linear models

Shelemyahu Zacks and Xiaodong Wang

Statistics & Probability Letters, 1999, vol. 41, issue 3, 325-330

Abstract: Two types of recursive estimators are developed for the variance components [sigma]2 and [tau]2 of the dynamic linear model: non-Bayesian and Bayesian. From a frequentist point of view, both types of estimators are mean square consistent. The non-Bayesian estimator of [sigma]2 is also unbiased.

Keywords: Dynamic; linear; model; Kalman; filter; Variance; components (search for similar items in EconPapers)
Date: 1999
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