Penalized likelihood estimation and iterative Kalman smoothing for non-Gaussian dynamic regression models

DOI10.1016/S0167-9473(96)00064-3zbMath0900.62495OpenAlexW2008273586MaRDI QIDQ1391802

Stefan Wagenpfeil, Ludwig Fahrmeir

Publication date: 23 July 1998

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

Full work available at URL: https://doi.org/10.1016/s0167-9473(96)00064-3

zbMATH Keywords

SmoothingState space modelsDiscrete observationsHyperparameter estimationNon-Gaussian longitudinal dataTime-varying coefficients

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Generalized linear models (logistic models) (62J12) Probabilistic methods, stochastic differential equations (65C99)

Related Items (9)

A scalable quasi-Newton estimation algorithm for dynamic generalised linear models ⋮ Autoregressive and moving average models for zero‐inflated count time series ⋮ Covariance matrix and transfer function of dynamic generalized linear models ⋮ Exact Bayesian designs for count time series ⋮ Bayesian-type count data models with varying coefficients: estimation and testing in the presence of overdispersion ⋮ A Mixed Model Approach for Geoadditive Hazard Regression ⋮ Transfer functions in dynamic generalized linear models ⋮ Block sampler and posterior mode estimation for asymmetric stochastic volatility models ⋮ Parallel tempering for dynamic generalized linear models

Uses Software

• Fahrmeir

Cites Work

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• On Kalman filtering, posterior mode estimation and Fisher scoring in dynamic exponential family regression
• Multivariate statistical modelling based on generalized linear models. With contributions by Wolfgang Hennevogl
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• Accurate Approximations for Posterior Moments and Marginal Densities
• Penalized Likelihood for General Semi-Parametric Regression Models
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• A fast algorithm for signal extraction, influence and cross-validation in state space models
• State Space Modelling of Cross-Classified Time Series of Counts
• Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
• On Gibbs sampling for state space models
• Approximate Inference in Generalized Linear Mixed Models

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