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05-118/4 - Model-based Measurement of Latent Risk in Time Series with Applications

  • Authors
    Frits Bijleveld, SWOV Institute for Road Safety Research, Netherlands; Jacques Commandeur, SWOV Institute for Road Safety Research, Netherlands; Phillip Gould, Monash University, Melbourne; Siem Jan Koopman, Vrije Universiteit Amsterdam
  • Publication date
    December 19, 2005
  • Keywords
    Actuarial statistics; Dynamic factor analysis; Kalman filter; Maximum likelihood; Road casualties; State space model; Unobserved components
  • JEL
    C32; G33