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A Comparison Of Confidence Intervals In State Space Models, Jinyu Du

Statistical Science Theses and Dissertations

This thesis develops general procedures for constructing confidence intervals (CIs) of the error disturbance parameters (standard deviations) and transformations of the error disturbance parameters in time-invariant state space models (ssm). With only a set of observations, estimating individual error disturbance parameters accurately in the presence of other unknown parameters in ssm is a very challenging problem. We attempted to construct four different types of confidence intervals, Wald, likelihood ratio, score, and higher-order asymptotic intervals for both the simple local level model and the general time-invariant state space models (ssm). We show that for a simple local level model, both the …