Feasible parameter regions for alternative discrete state space models

被引：5

作者：

Feigin, Paul D. ^{[2
]}

Gould, Phillip ^{[1
,3
]}

Martin, Gael M. ^{[1
]}

Snyder, Ralph D. ^{[1
]}

机构：

[1] Monash Univ, Dept Econometr & Business Stat, Clayton, Vic 3800, Australia

[2] Technion Israel Inst Technol, Fac Ind Engn & Management, IL-32000 Haifa, Israel

[3] Monash Univ, Accid Res Ctr, Clayton, Vic 3800, Australia

来源：

STATISTICS & PROBABILITY LETTERS | 2008年 / 78卷 / 17期

基金：

澳大利亚研究理事会; 以色列科学基金会;

关键词：

D O I：

10.1016/j.spl.2008.05.021

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：2963 / 2970

页数：8

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