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Feasible parameter regions for alternative discrete state space models

Paul D. Feigin, Phillip Gould, Gael Martin and Ralph Snyder ()

Statistics & Probability Letters, 2008, vol. 78, issue 17, 2963-2970

Abstract: This paper provides a comparison of a parameter-driven and an observation-driven discrete state space model. The two models are shown to have non-overlapping feasible regions for dispersion and first-order autocorrelation, with the region for the parameter-driven model being much larger than that of the observation-driven model, as well as providing a much better representation of the empirical moments of observed count series.

Date: 2008
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Handle: RePEc:eee:stapro:v:78:y:2008:i:17:p:2963-2970