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Estimation for a class of generalized state-space time series models |
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| Authors: | T Fukasawa I V Basawa |
| Institution: | Department of Statistics, University of Georgia, 204 Statistics Buildings, Athens, GA 30602-1952, USA |
| Abstract: | State-space models with exponential and conjugate exponential family densities are introduced. Examples include Poisson–Gamma, Binomial–Beta, Gamma–Gamma and Normal–Normal processes. Maximum likelihood and quasilikelihood estimators and their properties are discussed. Results from a simulation study for the Poisson–Gamma model are reported. |
| Keywords: | State-space models Exponential families Conjugate exponential families Maximum likelihood estimation Quasilikelihood estimation |
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