한국경영과학회:학술대회논문집 (Proceedings of the Korean Operations and Management Science Society Conference)
- 한국경영과학회 2006년도 추계학술대회
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- Pages.169-172
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- 2006
상태 공간 모형에서의 모수 공간 제약
Parameter Space Restriction in State-Space Model
- 발행 : 2006.11.17
초록
Most studies using state-space models have been conducted under the assumption of independently distributed noises in measurement and state equation without adequate verification of the assumption. To avoid the improper use of state-space model, testing the assumption prior to the parameter estimation of state-space model is very important. The purpose of this paper is to investigate the general relationship between parameters of state-space models and those of ARIMA processes. Under the assumption, we derive restricted parameter spaces of ARIMA(p,0,p-1) models with mutually different AR roots where
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