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Estimation of variance components in dynamic linear models

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.
Year of publication:
1999
Authors: Zacks, Shelemyahu ; Wang, Xiaodong
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 41.1999, 3, p. 325-330
Publisher: Elsevier
Keywords: Dynamic linear model Kalman filter Variance components
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10005138185
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