A Non-Gaussian State Space Model and Application to Prediction of Records
非高斯状态空间模型及其纪录预测应用
SUMMARY We develop a class of state space models for censored data. The basic model assumes an exponential distribution for the observations, conditionally on unobserved state variables. The model may be generalised by allowing transformations. We develop an application to the prediction of records. This is illustrated with some athletics data, though we also discuss briefly the possibility of more general applications connected with extreme values.