Integration-based Kalman-filtering for a dynamic generalized linear trend model

DOI10.1016/0167-9473(92)90118-YzbMath0925.62396OpenAlexW1996414933MaRDI QIDQ1330516

Sylvia Schnatter

Publication date: 8 November 1999

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-9473(92)90118-y

zbMATH Keywords

Bayesian computationapproximate Bayesian inferencedynamic generalized linear modelsGauss-Hermite integrationKalman-filtering for non-Gaussian datanon-Gaussian state space modelstrend modelling

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Generalized linear models (logistic models) (62J12)

Related Items (3)

The Kantorovich inequality for error analysis of the Kalman filter with unknown noise distributions ⋮ Penalized likelihood estimation and iterative Kalman smoothing for non-Gaussian dynamic regression models ⋮ Bayesian decoding of neural spike trains

Cites Work

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• On Kalman filtering, posterior mode estimation and Fisher scoring in dynamic exponential family regression
• Consistency and asymptotic normality of the maximum likelihood estimator in generalized linear models
• Bayesian forecasting and dynamic models
• Applications of a Method for the Efficient Computation of Posterior Distributions
• Dynamic Generalized Linear Models and Bayesian Forecasting
• The implementation of the bayesian paradigm
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models

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