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

5 citations · 5 across the 2 of their papers we have counts for

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2 papers

math.ST2026

Phase transitions and approximations of mean squared error for state-space models with fractional differencing

Prabir Burman, Xiucai Ding, Robert H. Shumway

We study trend estimation in state-space models in which the trend has a fractional stochastic difference of order and the observation errors form a short-range-dependent sta…

math.ST2009★ 5 cited

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 , where the th difference of the trend is assumed to be i.i.d., a…