Journal article
On the probability of estimating a deterministic component in the local level model
- Abstract:
- A local level model has a deterministic level when the signal-to-noise ratio q is zero. In this paper we investigate the properties of the maximum likelihood estimator of q, paying particular attention to the case where its true value is zero. These properties are shown to be crucially dependent on the initial conditions employed.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Authors
Funding
Bibliographic Details
- Publisher:
- Blackwell Publishing Publisher's website
- Journal:
- Journal of time series analysis Journal website
- Volume:
- 11
- Issue:
- 4
- Pages:
- 339-347
- Publication date:
- 1990-07-01
- DOI:
- EISSN:
-
1467-9892
- ISSN:
-
0143-9782
Item Description
- Language:
- English
- Keywords:
- Subjects:
- UUID:
-
uuid:b64fc3b5-5f50-41c4-aace-9f8837c6822d
- Local pid:
- ora:2272
- Deposit date:
- 2008-08-12
Related Items
Terms of use
- Copyright holder:
- NG Shephard and AC Harvey
- Copyright date:
- 1990
- Notes:
- N.B. Professor Shephard was based at London School of Economics when this article was first published. The full-text of this article is not currently available in ORA. Citation: Shephard, N. G. & Harvey, A. C. (1990). 'On the probability of estimating a deterministic component in the local level model', Journal of Time Series Analysis, 11(4), 339-347. [Available at http://www3.interscience.wiley.com/journal/118485933/home].
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