Publication | Closed Access
ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL
101
Citations
14
References
1990
Year
Statistical Signal ProcessingParameter EstimationEngineeringUncertainty QuantificationProbabilistic AnalysisNoiseSignal ProcessingStatistical InferenceProbability TheoryMaximum Likelihood EstimatorStochastic GeometrySignal DetectionEstimation TheoryStatisticsInitial ConditionsDeterministic Level
Abstract. A local level model has a deterministic level when the signal‐to‐noise ratio q is zero. In this paper we investigate the properties of the maximum likelihood estimator of q , paying particular attention to the case where its true value is zero. These properties are shown to be crucially dependent on the initial conditions employed.
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