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References in state space notebook #1704

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FelixNoessler opened this issue Jan 25, 2025 · 0 comments
Open

References in state space notebook #1704

FelixNoessler opened this issue Jan 25, 2025 · 0 comments

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@FelixNoessler
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Hello,

thanks for creating the package. I also really like the example notebooks. I looked into the notebook: Interface to statsmodels: state space time series models and really like the idea of calculating the difference between the solution of a process-based model (like the logistic growth model) and the data and calcuate the likelihood with a local level state space model (with process and observarional error parameters). I think it is in between a full state space approach with one step ahead prediction of the process-based model and directly updating the states and more simpler aprroaches like the AR1 likelihood that you also described.

My question is: Do you know any scientific articles that use this approach of calculting the likelihood with local level state space model from the difference of the solution of a process-based model and data? Maybe, some references could be linked in the notebook? This would be highly useful for me, because I could cite these articles for justifying the approach in my paper.

Best,
Felix

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