Estimation of variance components in dynamic linear models

DOI10.1016/S0167-7152(98)00168-0MaRDI QIDQ1304111zbMATH OpenOpenAlexFDO

Authors Xiaodong Wang, S. Zacks

Publication date 14 March 2000

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(98)00168-0

zbMATH Keywords

dynamic linear modelKalman filtervariance components

Mathematics Subject Classification ID

Bayesian inference (62F15) Analysis of variance and covariance (ANOVA) (62J10)

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Cites work

• Bayesian forecasting and dynamic models
• scientific article; zbMATH DE number 3822927 (Why is no real title available?)

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(7)

• Estimation of VAR models: computational aspects
• scientific article; zbMATH DE number 5184551 (Why is no real title available?)
• scientific article; zbMATH DE number 472982 (Why is no real title available?)
• Development of a dynamic model for the subfilter scalar variance using the concept of optimal estimators
• Estimation of dynamic models on the factors of marginal principal component analysis
• Estimation of Variance Components for a Linear Toeplitz Model
• Bound and convergence of the non-constant dynamic linear model

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