On the probability of estimating a deterministic component in the local level model
- 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:
- Peer review status:
- Peer reviewed
- Publisher copy:
- Copyright holder:
- NG Shephard and AC Harvey
- Copyright date:
- 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].
If you are the owner of this record, you can report an update to it here: Report update to this record