A semiparametric state space model

Andre Monteiro

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: This paper considers the problem of estimating a linear univariate Time Series State Space model for which the shape of the distribution of the observation noise is not specified a priori. Although somewhat challenging computationally, the simultaneous estimation of the parameters of the model and the unknown observation noise density is made feasible through a combination of Gaussian-sum Filtering and Smoothing algorithms and Kernel Density Estimation methods. The bottleneck in these calculations consists in avoiding the geometric increase, with time, of the number of simultaneous Kalman filter components. It is the aim of this paper to show that this can be achieved by the use of standard techniques from Cluster Analysis and unsupervised Classification. An empirical illustration of this new methodology is included; this consists in the application of a semiparametric version of the Local Level model to the analysis of the wellknown river Nile data series.

Keywords: Clustering; Gaussian-Sum; Kernel; methods; Signal; extraction; State; space; models (search for similar items in EconPapers)
JEL-codes: C13 C14 C22 (search for similar items in EconPapers)
Date: 2010-09
New Economics Papers: this item is included in nep-ecm and nep-ets
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://e-archivo.uc3m.es/rest/api/core/bitstreams ... 5cdc50cf26be/content (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws103418

Access Statistics for this paper

More papers in DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística
Bibliographic data for series maintained by Ana Poveda ().