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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)

Abstract

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.

Keywords

Kalman Filter Variance Matrix Local Cluster Bias Effect Covariate Vector 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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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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