On Kalman filtering, posterior mode estimation and Fisher scoring in dynamic exponential family regression

DOI10.1007/BF02613597zbMath0713.62092MaRDI QIDQ750064

Ludwig Fahrmeir, Heinz Kaufmann

Publication date: 1991

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/176327

zbMATH Keywords

smoothingposterior mode estimationGauss-Newton algorithmextended Kalman filteringApproximate error covariance matricesblock- bidiagonal matricescategorical responsescounted responsesDynamic exponential family regressionfactorization of information matricesFisher scoring iterationsforward-backward recursive formtime dependent parameters

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) General nonlinear regression (62J02) Probabilistic methods, stochastic differential equations (65C99)

Related Items (12)

Integration-based Kalman-filtering for a dynamic generalized linear trend model ⋮ Penalized likelihood estimation and iterative Kalman smoothing for non-Gaussian dynamic regression models ⋮ A general science-based framework for dynamical spatio-temporal models ⋮ Moving average stochastic volatility models with application to inflation forecast ⋮ Simulated maximum likelihood in nonlinear continuous-discrete state space models: importance sampling by approximate smoothing ⋮ State‐space models for multivariate longitudinal data of mixed types ⋮ Bayesian-type count data models with varying coefficients: estimation and testing in the presence of overdispersion ⋮ Second-order Bayesian revision of a generalised linear model ⋮ Posterior mean and variance approximation for regression and time series problems ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item

Cites Work

• Unnamed Item
• Consistency and asymptotic normality of the maximum likelihood estimator in generalized linear models
• Regression models for nonstationary categorical time series: Asymptotic estimation theory
• Maximum likelihood estimation and large-sample inference for generalized linear and nonlinear regression models
• Dynamic Generalized Linear Models and Bayesian Forecasting
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Composite Link Functions in Generalized Linear Models
• REGRESSION MODELS FOR NON‐STATIONARY CATEGORICAL TIME SERIES

This page was built for publication: On Kalman filtering, posterior mode estimation and Fisher scoring in dynamic exponential family regression