Analysis of multi-unit variance components models with state space profiles

DOI10.1023/A:1003405615641MaRDI QIDQ1388167zbMATH OpenFDO

Authors John V. Tsimikas, Johannes Ledolter

Publication date 8 November 1998

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1003405615641

zbMATH Keywords

continuous-time stochastic modelsEM algorithmKalman filtermixed model predictionrestricted loglikelihoodrestricted maximum likelihood estimationsmoothing splinesstate space modeltime serieunequally spaced observationsvariance components model

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Inference from stochastic processes and prediction (62M20) Numerical smoothing, curve fitting (65D10)

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