TY - JOUR
AU - ANSLEY, CRAIG, F.
AB - Abstract We obtain a conditional prediction mean squared error for a state space model with estimated parameters. An important application of our results is the derivation of conditional forecast and interpolation mean squared errors for autoregressive-moving average models with estimated parameters. We also obtain the conditional mean squared error for filtered and smoothed estimates of the state vector. This content is only available as a PDF. © 1986 Biometrika Trust
TI - Prediction mean squared error for state space models with estimated parameters
JO - Biometrika
DO - 10.1093/biomet/73.2.467
DA - 1986-08-01
UR - https://www.deepdyve.com/lp/oxford-university-press/prediction-mean-squared-error-for-state-space-models-with-estimated-bGFLKKrHCe
SP - 467
VL - 73
IS - 2
DP - DeepDyve
ER -