ISSN:
1572-9338
Keywords:
Random environment
;
mixture models
;
random effects
;
variance estimation
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
,
Economics
Notes:
Abstract When a simple Markov or semi-Markov model is fitted to a large set of data over several points in time, confidence intervals based on the asymptotic distribution of the maximum likelihood estimates are generally too narrow. Accordingly, the estimated precision of forecasts is too optimistic. These problems arise not only because of inhomogeneities in the sample, but also because of time inhomogeneities in the parameter values themselves. In this paper, some approaches to finding more realistic interval estimates will be surveyed.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF02187091
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