scientific article; zbMATH DE number 3990674

MaRDI QIDQ3753326zbMATH OpenFDO

Authors

Publication date 1985

zbMATH Keywords

EM algorithmKalman state estimationmaximum likelihood estimationminimum norm quadratic unbiased estimatorMINQUErandom coefficient regression modelrandom walksimulationtime varying parameter

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05) Linear inference, regression (62J99) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(3)

• The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis.
• Analytical uses of Kalman filtering in econometrics — A survey
• Estimation of covariance components for random-walk regression parameters

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