A Non-Gaussian State Space Model and Application to Prediction of Records
Journal of the Royal Statistical Society Series B (Statistical Methodology)Published 1 September 1986
Richard L. Smith, J. E. Miller
Citations157
SJR quartileQ1
SJR score3.31
SNIP2.48
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Abstract
SUMMARY We develop a class of state space models for censored data. The basic model assumes an exponential distribution for the observations, conditionally on unobserved state variables. The model may be generalised by allowing transformations. We develop an application to the prediction of records. This is illustrated with some athletics data, though we also discuss briefly the possibility of more general applications connected with extreme values.
Keywords
Economics, Econometrics and FinanceEngineeringEnvironmental Science
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