Covariate Error Bias Effects in Dynamic Regression Model Estimation and Improvement in the Prediction by Covariate Local Clusters

  • Pietro Mantovan
  • Andrea PastoreEmail author
Conference paper
Part of the Studies in Classification, Data Analysis, and Knowledge Organization book series (STUDIES CLASS)


We consider a dynamic linear regression model with errors-in-covariate. Neglecting such errors has some undesirable effects on the estimates obtained with the Kalman Filter. We propose a modification of the Kalman Filter where the perturbed covariate is replaced with a suitable function of a local cluster of covariates. Some results of both a simulation experiment and an application are reported.


Kalman Filter Variance Matrix Local Cluster Bias Effect Covariate Vector 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  1. 1.Department of StatisticsUniversity Ca FoscariVeneziaItaly

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