Computing exact score vectors for linear Gaussian state space models

研究成果: Article査読

1 被引用数 (Scopus)

抄録

A recursive formula for computing the exact value of score vectors is proposed for a general form of the linear Gaussian state space model, which is more desirable than approximate values in some statistical analyses. Unlike most extant methods, our formula calculates all components of the score vector simultaneously. This approach significantly simplifies its programing, in particular, with some matrix-oriented programing languages, such as MATLAB. We also consider a way of handling initial conditions that depend on unknown parameters. This issue has not yet been explicitly addressed in the existing literature in the context of exact score computing for a general case, such as the one that we consider in this paper. It is also shown that our formula is especially useful for calculating score tests with an outer product of gradient asymptotic covariance matrix estimator.

本文言語English
ページ(範囲)2313-2326
ページ数14
ジャーナルCommunications in Statistics: Simulation and Computation
50
8
DOI
出版ステータスPublished - 2021

ASJC Scopus subject areas

  • 統計学および確率
  • モデリングとシミュレーション

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