Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154568 | Statistics & Probability Letters | 2008 | 8 Pages |
Abstract
This paper provides a comparison of a parameter-driven and an observation-driven discrete state space model. The two models are shown to have non-overlapping feasible regions for dispersion and first-order autocorrelation, with the region for the parameter-driven model being much larger than that of the observation-driven model, as well as providing a much better representation of the empirical moments of observed count series.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Paul D. Feigin, Phillip Gould, Gael M. Martin, Ralph D. Snyder,