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Title: A note on prediction bias for state space models with estimated parameters
Author: Monteiro, Magda
Costa, Marco
Keywords: State space model
Prediction bias
Kalman filter
Stationary state
Issue Date: 2012
Publisher: American Institute of Physics
Abstract: This paper aims to discuss some problems on state space models with estimated parameters. While existing research focus on the prediction mean squared error, this work presents some results on bias propagation into forecast and filter predictions when the mean vector of the state is taking with an estimation bias, namely, non recursive analytical expression for them. In particular, it is discussed the impact of mean bias in invariant state space models.
Peer review: yes
DOI: 10.1063/1.4756602
ISBN: 978-0-7354-1091-6
ISSN: 0094-243X
Appears in Collections:CIDMA - Comunicações
ESTGA - Comunicações
PSG - Comunicações

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