Semi-parametric estimation and prediction intervals in state space models
Statistics Theory
2020-12-15 v2 Statistics Theory
Abstract
Literatures in state space models focus on parametric inference and prediction, which fail if the state space model is not fully specified and the maximum likelihood estimation does not work. In this paper, we assume the state transition matrix and the distribution of state noises are unknown. Under this assumption, we provide methods to consistently estimate these terms. In addition, we introduce an algorithm to construct consistent prediction intervals for state vectors and future observations. We complement the asymptotic results with several numerical experiments.
Cite
@article{arxiv.1907.07915,
title = {Semi-parametric estimation and prediction intervals in state space models},
author = {Yunyi Zhang and Tingting Wang and Dimitris N. Politis},
journal= {arXiv preprint arXiv:1907.07915},
year = {2020}
}
Comments
22 pages, 1 figure