Please use this identifier to cite or link to this item:
http://hdl.handle.net/10773/9187
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 |
URI: | http://hdl.handle.net/10773/9187 |
DOI: | 10.1063/1.4756602 |
ISBN: | 978-0-7354-1091-6 |
ISSN: | 0094-243X |
Appears in Collections: | CIDMA - Comunicações ESTGA - Comunicações PSG - Comunicações |
Files in This Item:
File | Description | Size | Format | |
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MonteiroCosta_ICNAAM2011.pdf | Documento principal | 108.24 kB | Adobe PDF | View/Open |
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