Estimation for a class of generalized state-space time series models

T. Fukasawa and I. V. Basawa

Statistics & Probability Letters, 2002, vol. 60, issue 4, 459-473

Abstract: State-space models with exponential and conjugate exponential family densities are introduced. Examples include Poisson-Gamma, Binomial-Beta, Gamma-Gamma and Normal-Normal processes. Maximum likelihood and quasilikelihood estimators and their properties are discussed. Results from a simulation study for the Poisson-Gamma model are reported.

Keywords: State-space; models; Exponential; families; Conjugate; exponential; families; Maximum; likelihood; estimation; Quasilikelihood; estimation (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (3)

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