On the probability of estimating a deterministic component in the local level model

On the probability of estimating a deterministic component in the local level model

Бусад хувилбаруудыг харуулах (1)

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...

Бүрэн тодорхойлолт

Номзүйн дэлгэрэнгүй
Үндсэн зохиолчид:	Harvey, A, Shephard, N
Формат:	Journal article
Хэл сонгох:	English
Хэвлэсэн:	Blackwell Publishing 1990
Нөхцлүүд:	Econometrics Economics

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