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

DOI10.1016/0167-9473(92)90118-YzbMATH Open0925.62396OpenAlexW1996414933MaRDI QIDQ1330516FDOQ1330516

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

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bayesian forecasting and dynamic models
• Dynamic Generalized Linear Models and Bayesian Forecasting
• Consistency and asymptotic normality of the maximum likelihood estimator in generalized linear models
• The implementation of the bayesian paradigm
• Applications of a Method for the Efficient Computation of Posterior Distributions
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
• On Kalman filtering, posterior mode estimation and Fisher scoring in dynamic exponential family regression

Cited In (4)

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

This page was built for publication: Integration-based Kalman-filtering for a dynamic generalized linear trend model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1330516)