Article ID Journal Published Year Pages File Type
1153712 Statistics & Probability Letters 2008 8 Pages PDF
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
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