Exercises Flashcards
1
Q
How do you rewrite a State Space Model to an ARIMA(0, ., .) model? What are the things you’d need to show?
A
2
Q
How do you find the mean and variance of a State Space Model?
A
3
Q
A
4
Q
How do I write an ARIMA or ARMA model in State Space form?
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5
Q
A
6
Q
What is the log likelihood of a LGM?
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7
Q
What is the definition of the diffuse log likelihood? What is its advantage?
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8
Q
(ignore the proof part)
A
9
Q
What are identifiable parameters? When are they not?
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10
Q
How to answer such a question (5 steps).
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11
Q
Note has four steps
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12
Q
A
13
Q
How should you initialize a model?
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14
Q
A
15
Q
A
16
Q
What is the Equation-by-Equation approach in a Multivariate Kalman Filter?
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17
Q
A
18
Q
A
19
Q
(just c)
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20
Q
A
