Penalized likelihood estimation and iterative Kalman smoothing for non-Gaussian dynamic regression models

DOI10.1016/S0167-9473(96)00064-3zbMath0900.62495OpenAlexW2008273586MaRDI QIDQ1391802

Stefan Wagenpfeil, Ludwig Fahrmeir

Publication date: 23 July 1998

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

Full work available at URL: https://doi.org/10.1016/s0167-9473(96)00064-3

zbMATH Keywords

SmoothingState space modelsDiscrete observationsHyperparameter estimationNon-Gaussian longitudinal dataTime-varying coefficients

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Generalized linear models (logistic models) (62J12) Probabilistic methods, stochastic differential equations (65C99)

Related Items

A scalable quasi-Newton estimation algorithm for dynamic generalised linear models, Autoregressive and moving average models for zero‐inflated count time series, Covariance matrix and transfer function of dynamic generalized linear models, Exact Bayesian designs for count time series, Bayesian-type count data models with varying coefficients: estimation and testing in the presence of overdispersion, A Mixed Model Approach for Geoadditive Hazard Regression, Transfer functions in dynamic generalized linear models, Block sampler and posterior mode estimation for asymmetric stochastic volatility models, Parallel tempering for dynamic generalized linear models

Uses Software

• Fahrmeir

Cites Work

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