Recovery performance on state-dependent variance dynamics (simulation)
0.016Biasstate_coupled
Evaluation results
| Method | Links | ||
|---|---|---|---|
| state_coupledlatent persistence (phi)=0.9, observation noise (r)=0.012026.06 | 0.016 | 0.278 | |
| state_coupledlatent persistence (phi)=0.9, observation noise (r)=0.052026.06 | 0.085 | 0.25 | |
| heteroskedastic_proxylatent persistence (phi)=0.9, observation noise (r)=0.012026.06 | 0.105 | 0.192 | |
| state_coupledlatent persistence (phi)=0.6, observation noise (r)=0.052026.06 | 0.118 | 0.523 | |
| heteroskedastic_proxylatent persistence (phi)=0.6, observation noise (r)=0.012026.06 | 0.122 | 0.307 | |
| heteroskedastic_proxylatent persistence (phi)=0.3, observation noise (r)=0.012026.06 | 0.13 | 0.373 | |
| state_coupledlatent persistence (phi)=0.3, observation noise (r)=0.052026.06 | 0.135 | 0.629 | |
| state_coupledlatent persistence (phi)=0.9, observation noise (r)=0.102026.06 | 0.142 | 0.296 | |
| state_coupledlatent persistence (phi)=0.6, observation noise (r)=0.102026.06 | 0.168 | 0.508 | |
| state_coupledlatent persistence (phi)=0.6, observation noise (r)=0.012026.06 | 0.189 | 0.566 | |
| heteroskedastic_proxylatent persistence (phi)=0.9, observation noise (r)=0.052026.06 | 0.195 | 0.288 | |
| heteroskedastic_proxylatent persistence (phi)=0.6, observation noise (r)=0.102026.06 | 0.204 | 0.432 | |
| heteroskedastic_proxylatent persistence (phi)=0.6, observation noise (r)=0.052026.06 | 0.21 | 0.409 | |
| heteroskedastic_proxylatent persistence (phi)=0.9, observation noise (r)=0.102026.06 | 0.212 | 0.334 | |
| heteroskedastic_proxylatent persistence (phi)=0.3, observation noise (r)=0.052026.06 | 0.31 | 0.478 | |
| state_coupledlatent persistence (phi)=0.3, observation noise (r)=0.102026.06 | 0.325 | 0.603 | |
| state_coupledlatent persistence (phi)=0.3, observation noise (r)=0.012026.06 | 0.333 | 0.852 | |
| heteroskedastic_proxylatent persistence (phi)=0.3, observation noise (r)=0.102026.06 | 0.359 | 0.517 |