Estimation in the multiprocess dynamic generlized linear model

DOI10.1080/03610928808829866MaRDI QIDQ3474136zbMATH OpenOpenAlexFDO

Authors William M. Bolstad

Publication date 1988

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610928808829866

zbMATH Keywords

Kalman filterstate space modelsfault detectionBayesian forecastingdynamic discount Bayesian modelHarrison- Stevens forecastingmultiprocess models

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 4100406 (Why is no real title available?)
• A Bayesian Approach to Short-term Forecasting
• A survey of design methods for failure detection in dynamic systems
• An efficient algorithm for Harrison-Stevens forecasting using the multi-process multivariate dynamic linear model
• Bayesian Aggregation
• Harrison-Stevens Forecasting and the Multiprocess Dynamic Linear Model
• Linear Dynamic Recursive Estimation from the Viewpoint of Regresion Analysis
• Monitoring Renal Transplants: An Application of the Multiprocess Kalman Filter
• Robust bayesian estimation for the linear model and robustifying the Kalman filter

Cited in

(9)

• The multiprocess dynamic linear model with biased perturbations: A real time model for growth hormone level
• An efficient algorithm for Harrison-Stevens forecasting using the multi-process multivariate dynamic linear model
• Automatic selective intervention in dynamic linear models
• Harrison-Stevens Forecasting and the Multiprocess Dynamic Linear Model
• Second order longitudinal dynamic models with covariates: estimation and forecasting
• Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
• On dynamic generalized linear models with applications
• Maximum likelihood estimates for positive valued dynamic score models; the DySco package
• Bayesian estimation procedure in multiprocess non-linear dynamic generalized model

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