On computing the expected Fisher information matrix for state-space model parameters

被引：19
|
作者：
Cavanaugh, JE
Shumway, RH
机构：
[1] UNIV MISSOURI,DEPT STAT,COLUMBIA,MO 65211
[2] UNIV CALIF DAVIS,DIV STAT,DAVIS,CA 95616
来源：
STATISTICS & PROBABILITY LETTERS | 1996年 / 26卷 / 04期
关键词：
EM algorithm; Kalman filter; recursive algorithm; time series;
D O I：
10.1016/0167-7152(95)00031-3
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：
A general, recursive algorithm is presented for computing the expected Fisher information matrix for state-space model parameters. Simulation results are featured where known Fisher information matrices corresponding to simple state-space models are estimated using both observed and expected information matrices. The accuracy of the two approaches is compared.
引用
收藏
页码：347 / 355
页数：9
相关论文
共 50 条
  • [41] Linear Gaussian state-space model with irregular sampling: application to sea surface temperature
    Tandeo, Pierre
    Ailliot, Pierre
    Autret, Emmanuelle
    STOCHASTIC ENVIRONMENTAL RESEARCH AND RISK ASSESSMENT, 2011, 25 (06) : 793 - 804
  • [42] Using a state-space population model to detect age-dependent species interactions
    Patin, Remi
    Rogers, Lauren A.
    Ohlberger, Jan
    CANADIAN JOURNAL OF FISHERIES AND AQUATIC SCIENCES, 2016, 73 (05) : 811 - 818
  • [43] Gaussian linear state-space model for wind fields in the North-East Atlantic
    Bessac, J.
    Ailliot, P.
    Monbet, V.
    ENVIRONMETRICS, 2015, 26 (01) : 29 - 38
  • [44] Neural Decoding of Hand Motion Using a Linear State-Space Model With Hidden States
    Wu, Wei
    Kulkarni, Jayant E.
    Hatsopoulos, Nicholas G.
    Paninski, Liam
    IEEE TRANSACTIONS ON NEURAL SYSTEMS AND REHABILITATION ENGINEERING, 2009, 17 (04) : 370 - 378
  • [45] On a consistent state-space bond markets model for pricing long-maturity bonds
    Ikpe, Dennis
    Sithole, Yethu
    Gyamerah, Samuel Asante
    INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2022, 09 (04)
  • [46] Linear Gaussian state-space model with irregular sampling: application to sea surface temperature
    Pierre Tandeo
    Pierre Ailliot
    Emmanuelle Autret
    Stochastic Environmental Research and Risk Assessment, 2011, 25 : 793 - 804
  • [47] Three-dimensional dynamic monitoring of environmental cost based on state-space model
    Liu, Shuai
    Li, Sicheng
    NEURAL COMPUTING & APPLICATIONS, 2019, 31 (12): : 8337 - 8350
  • [48] Compensated State-Space Model of Diode-Clamped MMCs for Sensorless Voltage Estimation
    Tashakor, Nima
    Zhang, Yi
    Banana, Shady
    Blaabjerg, Frede
    Goetz, Stefan
    IEEE TRANSACTIONS ON POWER ELECTRONICS, 2023, 38 (10) : 12126 - 12138
  • [49] Quantifying non-communicable diseases' burden in Egypt using State-Space model
    El-Saadani, Somaya
    Saleh, Mohamed
    Ibrahim, Sarah A.
    PLOS ONE, 2021, 16 (08):
  • [50] Short-term forecast improvement of maximum temperature by state-space model approach: the study case of the TO CHAIR project
    F. Catarina Pereira
    A. Manuela Gonçalves
    Marco Costa
    Stochastic Environmental Research and Risk Assessment, 2023, 37 : 219 - 231
12345