A scalable quasi-Newton estimation algorithm for dynamic generalised linear models

DOI10.1080/10485252.2022.2085263OpenAlexW4281841142MaRDI QIDQ5051332

Guoqi Qian, Li Xing Zhu, Guangbao Guo

Publication date: 23 November 2022

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2022.2085263

zbMATH Keywords

quasi-Newton methodhigh dimensionpenalised quasi-likelihooddynamic generalised linear modelsscalable statistical computing

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric inference (62G99)

Cites Work

• Unnamed Item
• Nearly unbiased variable selection under minimax concave penalty
• A unified approach to model selection and sparse recovery using regularized least squares
• On dynamic generalized linear models with applications
• Penalized likelihood estimation and iterative Kalman smoothing for non-Gaussian dynamic regression models
• A unified approach to parallel space decomposition methods
• Dynamic generalized linear models and repeated measurements
• An efficient sampling scheme for dynamic generalized models
• Parallel statistical computing for statistical inference
• Dynamic Generalized Linear Models with Application to Environmental Epidemiology
• Handbook of Markov Chain Monte Carlo
• Dynamic Generalized Linear Models and Bayesian Forecasting
• Markov chain Monte Carlo for dynamic generalised linear models
• Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Analysis of Schwarz Methods for a Hybridizable Discontinuous Galerkin Discretization
• Field-Split Preconditioned Inexact Newton Algorithms
• Distributed Parameter Estimation in Sensor Networks: Nonlinear Observation Models and Imperfect Communication
• Model Selection and Estimation in Regression with Grouped Variables
• Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling.

This page was built for publication: A scalable quasi-Newton estimation algorithm for dynamic generalised linear models