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- Title
Structural Time Series Models with Feedback Mechanisms.
- Authors
Guo, Wensheng; Brown, Morton B.
- Abstract
Summary. Structural time series models have applications in many different fields such as biology, economics, and meteorology. A structural time series model can be represented as a state-space model where the states of the system represent the unobserved components and the structural parameters have clear interpretations. This paper introduces a class of structural time series models that incorporate feedback from the latent components of the history. An iterative procedure is proposed for estimation. These models allow flexible and robust feedback mechanisms, have clear interpretations, and have a computationally efficient estimation procedure. They are applied to hormone data to characterize hormone secretion and to explore a potential feedback mechanism.
- Publication
Biometrics, 2000, Vol 56, Issue 3, p686
- ISSN
0006-341X
- Publication type
Article
- DOI
10.1111/j.0006-341X.2000.00686.x