Displaying 1 result from an estimated 1 matches for "kalmanxxxx".
Did you mean:
kalmanxxx
2005 Feb 24
0
KalmanXXXX and deJong-Penzer statistic?
A question about: Kalman in R, time series and
deJong-Penzer statistic - how to compute it using
available artefacts of KalmanXXXXX?
Background. in the paper
http://www.lse.ac.uk/collections/statistics/documents/researchreport34.pdf
'Diagnosing Shocks in TIme Series', de Jong and Penzer
construct a statistic (tau) which can be used to
locate potential shocks. [p15, Theorem 6.1 and below].
They also state that all the...