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