Matches in SemOpenAlex for { <https://semopenalex.org/work/W2096587525> ?p ?o ?g. }
Showing items 1 to 56 of
56
with 100 items per page.
- W2096587525 endingPage "131" @default.
- W2096587525 startingPage "123" @default.
- W2096587525 abstract "One advantage of state space models is that they deliver estimates of the unobserved components and predictions of future values of the observed series and their corresponding Prediction Mean Squared Errors (PMSE). However, these PMSE are obtained by running the Kalman filter with the true parameters substituted by consistent estimates and, consequently, they do not incorporate the uncertainty due to parameter estimation. This paper reviews new bootstrap procedures to estimate the PMSEs of the unobserved states and to construct prediction intervals of future observations that incorporate parameter uncertainty and do not rely on particular assumptions of the error distribution. The new bootstrap PMSEs of the unobserved states have smaller biases than those obtained with alternative procedures. Furthermore, the prediction intervals have better coverage properties. The results are illustrate by obtaining prediction intervals of the quarterly mortgages changes and of the unobserved output gap in USA." @default.
- W2096587525 created "2016-06-24" @default.
- W2096587525 creator A5036810244 @default.
- W2096587525 creator A5074754230 @default.
- W2096587525 date "2010-01-01" @default.
- W2096587525 modified "2023-09-27" @default.
- W2096587525 title "Bootstrap Prediction in Unobserved Component Models" @default.
- W2096587525 cites W1991793715 @default.
- W2096587525 cites W1996621776 @default.
- W2096587525 cites W2025555763 @default.
- W2096587525 cites W2030111109 @default.
- W2096587525 cites W3121595883 @default.
- W2096587525 cites W3124033197 @default.
- W2096587525 doi "https://doi.org/10.1007/978-3-7908-2604-3_11" @default.
- W2096587525 hasPublicationYear "2010" @default.
- W2096587525 type Work @default.
- W2096587525 sameAs 2096587525 @default.
- W2096587525 citedByCount "0" @default.
- W2096587525 crossrefType "book-chapter" @default.
- W2096587525 hasAuthorship W2096587525A5036810244 @default.
- W2096587525 hasAuthorship W2096587525A5074754230 @default.
- W2096587525 hasConcept C105795698 @default.
- W2096587525 hasConcept C121332964 @default.
- W2096587525 hasConcept C149782125 @default.
- W2096587525 hasConcept C162324750 @default.
- W2096587525 hasConcept C168167062 @default.
- W2096587525 hasConcept C33923547 @default.
- W2096587525 hasConcept C41008148 @default.
- W2096587525 hasConcept C97355855 @default.
- W2096587525 hasConceptScore W2096587525C105795698 @default.
- W2096587525 hasConceptScore W2096587525C121332964 @default.
- W2096587525 hasConceptScore W2096587525C149782125 @default.
- W2096587525 hasConceptScore W2096587525C162324750 @default.
- W2096587525 hasConceptScore W2096587525C168167062 @default.
- W2096587525 hasConceptScore W2096587525C33923547 @default.
- W2096587525 hasConceptScore W2096587525C41008148 @default.
- W2096587525 hasConceptScore W2096587525C97355855 @default.
- W2096587525 hasLocation W20965875251 @default.
- W2096587525 hasOpenAccess W2096587525 @default.
- W2096587525 hasPrimaryLocation W20965875251 @default.
- W2096587525 hasRelatedWork W2001372204 @default.
- W2096587525 hasRelatedWork W2008985603 @default.
- W2096587525 hasRelatedWork W2084166352 @default.
- W2096587525 hasRelatedWork W2360796461 @default.
- W2096587525 hasRelatedWork W2361957794 @default.
- W2096587525 hasRelatedWork W2364925730 @default.
- W2096587525 hasRelatedWork W2379533788 @default.
- W2096587525 hasRelatedWork W2385928515 @default.
- W2096587525 hasRelatedWork W2778450995 @default.
- W2096587525 hasRelatedWork W2900763005 @default.
- W2096587525 isParatext "false" @default.
- W2096587525 isRetracted "false" @default.
- W2096587525 magId "2096587525" @default.
- W2096587525 workType "book-chapter" @default.