Estimation of trend in state-space models: Asymptotic mean square error and rate of convergence

Prabir Burman, Robert H. Shumway

The focus of this paper is on trend estimation for a general state-space model $Y_t={\mu }_t+{\epsilon }_t$, where the $d$th difference of the trend $\{{\mu }_t\}$ is assumed to be i.i.d., a…