Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1153712 | Statistics & Probability Letters | 2008 | 8 Pages |
Abstract
This note shows the equivalence of the dummy variable approach and the skipping approach for the treatment of missing observations in state space models. The equivalence holds when the coefficient of the dummy variable is considered as a diffuse rather than a fixed effect. The equivalence concerns both likelihood inference and smoothed inferences.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Tommaso Proietti,