Best Linear Recursive Estimation for Mixed Linear Models

DOI10.2307/2287581MaRDI QIDQ3936066zbMATH OpenOpenAlexFDO

Authors William M. Sallas, David A. Harville

Publication date 1981

Full work available at URL https://doi.org/10.2307/2287581

zbMATH Keywords

generalized autoregressive processKalman filterrecursive least squaressmoothingtwo-part random modelVague priors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10)

Cited in

(8)

• Computational methods for modifying seemingly unrelated regressions models.
• On mixture autoregressive conditional heteroskedasticity
• On propriety of posterior distributions of variance components in small area estimation
• Updating linear models with dependent errors to include additional data and/or parameters
• Mixed model prediction and small area estimation. (With comments of P. Hall, D. Morales, C. N. Morris, J. N. K. Rao, and J. L. Eltinge)
• Regression analysis of dependent error models
• Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances
• Modeling diurnal hormone profiles by hierarchical state space models

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