Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
From MaRDI portal
Publication:4031156
DOI10.2307/2290283zbMath0781.62147MaRDI QIDQ4031156
Publication date: 1 April 1993
Full work available at URL: https://doi.org/10.2307/2290283
smoothing; exponential family; posterior mode estimation; binary data; conditionally Gaussian models; generalization of the extended Kalman filter; multivariate dynamic generalized linear models; nonstationary multicategorical time series; univariate models
62M20: Inference from stochastic processes and prediction
62J12: Generalized linear models (logistic models)
65C99: Probabilistic methods, stochastic differential equations
Related Items
Benchmarking by State Space Models, Monte carlo filter using the genetic algorithm operators, Monte Carlo Kalman filter and smoothing for multivariate discrete state space models, Estimating a State-Space Model from Point Process Observations, Modelling the HIV epidemic: A state-space approach, Dynamic Factor Analysis with Non-Linear Temporal Aggregation Constraints, A general science-based framework for dynamical spatio-temporal models, State space mixed models for longitudinal observations with binary and binomial responses, Multivariate dynamic model for ordinal outcomes, Parameter estimation of state space models for univariate observations, Time series of count data: Modeling, estimation and diagnostics, On the distribution of vaccine protection under heterogeneous response, Applications of quasi-periodic oscillation models to seasonal small count time series., Integration-based Kalman-filtering for a dynamic generalized linear trend model, Nonlinear and nonnormal filters using Monte Carlo methods, Penalized likelihood estimation and iterative Kalman smoothing for non-Gaussian dynamic regression models, Dynamic generalized linear models and repeated measurements, An application of a two-level non-Gaussian state-space model in the analysis of longitudinal papilloma count data, State space models on special manifolds, New proposals for the quantification of qualitative survey data, Second-order Bayesian revision of a generalised linear model, A Monte Carlo EM Approach for Partially Observable Diffusion Processes: Theory and Applications to Neural Networks
