Prediction mean squared error for state space models with estimated parameters
Robert Kohn, Craig F. Ansley · Biometrika · 1986
We obtain a conditional prediction mean squared error for a state space model with estimated parameters. An important application of our results is the derivation of conditional forecast and interpolation mean squared errors for autoregressive-moving average models with estimated parameters. We also obtain the conditional mean squared error for filtered and smoothed estimates of the state vector.