Jun, Duk Bin
[Verfasser:in]
;
Kim, Dong Soo
[Sonstige Person, Familie und Körperschaft];
Park, Sungho
[Sonstige Person, Familie und Körperschaft];
Park, Myoung Hwan
[Sonstige Person, Familie und Körperschaft]
Parameter Space Restrictions in State Space Models
Erschienen in:KAIST Business School Working Paper Series ; No. 2010-002
Umfang:
1 Online-Ressource (33 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.1599945
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 1, 2009 erstellt
Beschreibung:
The state space model is widely used to handle time series data driven by related latent processes in many fields. In this article, we suggest a framework to examine the relationship between state space models and ARIMA models by examining the existence and positive-definiteness conditions implied by the auto-covariance structures. This study covers broad types of state space models frequently used in previous studies. We also suggest a simple statistical test to check whether a certain state space model is appropriate for the specific data. For illustration, we apply the suggested procedure in the analysis of the United States real Gross Domestic Product data