State‐space models for multivariate longitudinal data of mixed types

DOI10.2307/3315747zbMath0877.62083MaRDI QIDQ5691195

Søren Lundbye-Christensen, Bent Jørgensen, Li Sun, Peter X.-K. Song

Publication date: 2 December 1997

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

Full work available at URL: https://doi.org/10.2307/3315747

zbMATH Keywords

smoother; Kalman filter; estimating equation; residual analysis; exponential dispersion model; time-varying covariates; dynamic generalized linear model; Tweedie class

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J12: Generalized linear models (logistic models)

Related Items

Generating dependent random numbers with given correlations and margins from exponential dispersion models, Monte Carlo Kalman filter and smoothing for multivariate discrete state space models, Extending the State-Space Model to Accommodate Missing Values in Responses and Covariates, Multivariate count autoregression, A statistical model for under- or overdispersed clustered and longitudinal count data, Multivariate Time-Series Analysis With Categorical and Continuous Variables in an Lstr Model, Stationary state space models for longitudinal data

Uses Software

• Fahrmeir

Cites Work

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