Integration-based Kalman-filtering for a dynamic generalized linear trend model

DOI10.1016/0167-9473(92)90118-YMaRDI QIDQ1330516zbMATHOpenAlexFDO

Authors Sylvia Schnatter

Publication date 8 November 1999

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-9473(92)90118-y

zbMATH Keywords

Bayesian computationapproximate Bayesian inferencedynamic generalized linear modelsGauss-Hermite integrationKalman-filtering for non-Gaussian datanon-Gaussian state space modelstrend modelling

Mathematics Subject Classification ID

Generalized linear models (logistic models) (62J12) Inference from stochastic processes and prediction (62M20)

Cites work

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• Applications of a Method for the Efficient Computation of Posterior Distributions
• Bayesian forecasting and dynamic models
• Consistency and asymptotic normality of the maximum likelihood estimator in generalized linear models
• Dynamic Generalized Linear Models and Bayesian Forecasting
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• On Kalman filtering, posterior mode estimation and Fisher scoring in dynamic exponential family regression
• Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
• The implementation of the bayesian paradigm

Cited in

(4)

• The Kantorovich inequality for error analysis of the Kalman filter with unknown noise distributions
• Bayesian decoding of neural spike trains
• Inference of dynamic generalized linear models: on-line computation and appraisal
• Penalized likelihood estimation and iterative Kalman smoothing for non-Gaussian dynamic regression models

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