Covariance matrix and transfer function of dynamic generalized linear models

DOI10.1016/J.CAM.2015.10.015MaRDI QIDQ898983zbMATH OpenOpenAlexFDO

Authors Guangbao Guo, Wenjie You, Lu Lin, Guoqi Qian

Publication date 21 December 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2015.10.015

zbMATH Keywords

covariance matrixtransfer functiondynamic generalized linear models

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12) Functional analytic techniques in dynamical systems; zeta functions, (Ruelle-Frobenius) transfer operators, etc. (37C30)

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Cites work

• scientific article; zbMATH DE number 1983941 (Why is no real title available?)
• An efficient proposal distribution for Metropolis-Hastings using a \(B\)-splines technique
• An efficient sampling scheme for dynamic generalized models
• Convergence of Discount Time Series Dynamic Linear Models
• Dynamic Generalized Linear Models and Bayesian Forecasting
• Dynamic Generalized Linear Models with Application to Environmental Epidemiology
• Dynamic generalized linear models and repeated measurements
• Markov chain Monte Carlo for dynamic generalised linear models
• On dynamic generalized linear models with applications
• Parallel statistical computing for statistical inference
• Penalized likelihood estimation and iterative Kalman smoothing for non-Gaussian dynamic regression models
• Population Markov chain Monte Carlo
• Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
• Transfer functions in dynamic generalized linear models

Cited in

(5)

• Spatial point process models of defensive strategies: detecting changes
• Dynamic approach to linear statistical calibration with an application in microwave radiometry
• A hierarchical approach to covariance function estimation for time series
• Sequential estimation of generalized linear model coefficients
• On the degrees of freedom in MCMC-based Wishart models for time series data

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