Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
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Publication:4031156
DOI10.2307/2290283zbMath0781.62147OpenAlexW4240657734MaRDI QIDQ4031156
Publication date: 1 April 1993
Full work available at URL: https://doi.org/10.2307/2290283
smoothingexponential familyposterior mode estimationbinary dataconditionally Gaussian modelsgeneralization of the extended Kalman filtermultivariate dynamic generalized linear modelsnonstationary multicategorical time seriesunivariate models
Inference from stochastic processes and prediction (62M20) Generalized linear models (logistic models) (62J12) Probabilistic methods, stochastic differential equations (65C99)
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