Publication: A semiparametric state space model
Loading...
Identifiers
Publication date
2010-09
Defense date
Authors
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Impact
Export
Abstract
This paper considers the problem of estimating a linear univariate Time Series State Space model for which the shape of the distribution of the observation noise is not specified a priori. Although somewhat challenging computationally, the simultaneous estimation of the parameters of the model and the unknown observation noise density is made feasible through a combination of Gaussian-sum Filtering and Smoothing algorithms and Kernel Density Estimation methods. The bottleneck in these calculations consists in avoiding the geometric increase, with time, of the number of simultaneous Kalman filter components. It is the aim of this paper to show that this can be achieved by the use of standard techniques from Cluster Analysis and unsupervised Classification. An empirical illustration of this new methodology is included; this consists in the application of a semiparametric version of the Local Level model to the analysis of the wellknown river Nile data series.
Description
Keywords
Clustering, Gaussian-Sum, Kernel methods, Signal extraction, State space models