Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Semi-parametric estimation and prediction intervals in state space
  models   Literatures in state space models focus on parametric inference and
prediction, which fail if the state space model is not fully specified and the
maximum likelihood estimation does not work. In this paper, we assume the state
transition matrix and the distribution of state noises are unknown. Under this
assumption, we provide methods to consistently estimate these terms. In
addition, we introduce an algorithm to construct consistent prediction
intervals for state vectors and future observations. We complement the
asymptotic results with several numerical experiments.

31
The categories of this paper are: ao-sci
14
The categories of this paper are: math-ph
6
The categories of this paper are: astro-ph
13
The categories of this paper are: quant-ph
7
The categories of this paper are: hep-th
12
The categories of this paper are: nucl-th
10
The categories of this paper are: q-bio
29
The categories of this paper are: funct-an
36
The categories of this paper are: cmp-lg
28
The categories of this paper are: alg-geom
22
The categories of this paper are: chao-dyn
35
The categories of this paper are: mtrl-th
23
The categories of this paper are: solv-int
24
The categories of this paper are: dg-ga
19
The categories of this paper are: eess
0
The categories of this paper are: hep-ph