Statistical inference for nonlinear state space models: an application to the analysis of forest fire counts in Canada

Tang, Zhian (2017) Statistical inference for nonlinear state space models: an application to the analysis of forest fire counts in Canada. Masters thesis, Memorial University of Newfoundland.

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Abstract

Nonlinear state space models occupy a predominant position in statistical stud- ies. They are widely used in various fields such as economics, finance, ecology and epidemiology. However, such models may be problematic when it comes to statistical inference, due to the fact that they could be quite sensitive to small variations in system states and parameters. In this dissertation, we present three estimation pro- cedures and their respective algorithms for the statistical inference of such nonlinear, non-Gaussian state space models. Also, simulation studies are carried out to evaluate the performance of these methods. At the end, we analyze the time series of forest fire counts that annually occurred in Canada using the proposed methodologies.

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