Estimation of trend in state-space models: Asymptotic mean square error and rate of convergence
Prabir Burman and Robert H. Shumway
Source: Ann. Statist. Volume 37, Number 6B (2009), 3715-3742.
Abstract
The focus of this paper is on trend estimation for a general state-space model Yt=μt+ɛt, where the dth difference of the trend {μt} is assumed to be i.i.d., and the error sequence {ɛt} is assumed to be a mean zero stationary process. A fairly precise asymptotic expression of the mean square error is derived for the estimator obtained by penalizing the dth order differences. Optimal rate of convergence is obtained, and it is shown to be “asymptotically equivalent” to a nonparametric estimator of a fixed trend model of smoothness of order d−0.5. The results of this paper show that the optimal rate of convergence for the stochastic and nonstochastic cases are different. A criterion for selecting the penalty parameter and degree of difference d is given, along with an application to the global temperature data, which shows that a longer term history has nonlinearities that are important to take into consideration.
Primary Subjects: 62M10, 62F12
Keywords: State-space model; trend estimation; rate of convergence; Toeplitz; Hankel and circulant matrices
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Permanent link to this document: http://projecteuclid.org/euclid.aos/1256303525
Digital Object Identifier: doi:10.1214/08-AOS675
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