Analysis, detection and correction of misspecified discrete time state space models

Abstract

Misspecifications (i.e. errors on the parameters) of state space models lead to incorrect inference of the hidden states. This paper studies weakly nonlinear state space models with additive Gaussian noises and proposes a method for detecting and correcting misspecifications. The latter induce a biased estimator of the hidden state but also happen to induce correlation on innovations and other residues. This property is used to find a well-defined objective function for which an optimization routine is applied to recover the true parameters of the model. It is argued that this method can consistently estimate the bias on the parameter. We demonstrate the algorithm on various models of increasing complexity.