Feigin, Paul D.; Gould, Phillip; Martin, Gael M.; … - In: Statistics & Probability Letters 78 (2008) 17, pp. 2963-2970
This paper provides a comparison of a parameter-driven and an observation-driven discrete state space model. The two models are shown to have non-overlapping feasible regions for dispersion and first-order autocorrelation, with the region for the parameter-driven model being much larger than...