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...

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Bibliografski detalji
Glavni autori: Harvey, A, Shephard, N
Format: Journal article
Jezik:English
Izdano: Blackwell Publishing 1990
Teme:

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