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Computing the covariance matrix of QML estimators for a state space model

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  • Papanastassiou, Demetrios

Abstract

An algorithm is presented for computing alternative expressions for the covariance matrix of the QML estimators for a stationary linear non-Gaussian state space model. We develop expressions for higher order theoretical autocovariances and Kalman filter recursions. A simulation study assesses the accuracy of the alternative approximations.

Suggested Citation

  • Papanastassiou, Demetrios, 2006. "Computing the covariance matrix of QML estimators for a state space model," Statistics & Probability Letters, Elsevier, vol. 76(10), pages 1001-1006, May.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:10:p:1001-1006
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    References listed on IDEAS

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    1. Cavanaugh, Joseph E. & Shumway, Robert H., 1996. "On computing the expected Fisher information matrix for state-space model parameters," Statistics & Probability Letters, Elsevier, vol. 26(4), pages 347-355, March.
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    Cited by:

    1. Alexander Tsyplakov, 2011. "An introduction to state space modeling (in Russian)," Quantile, Quantile, issue 9, pages 1-24, July.

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