Structural Time Series Models with Feedback Mechanisms

DOI10.1111/j.0006-341X.2000.00686.xzbMath1060.62552OpenAlexW1999040123WikidataQ74310626 ScholiaQ74310626MaRDI QIDQ4670399

Wensheng Guo, Morton B. Brown

Publication date: 22 April 2005

Published in: Biometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0006-341x.2000.00686.x

zbMATH Keywords

feedbackstate-space modelconditionally Gaussian modelmultiprocess dynamic linear modelpulsatile time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Cites Work

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• Partial non-Gaussian state space
• Likelihood analysis of non-Gaussian measurement time series
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• Disturbance smoother for state space models
• The simulation smoother for time series models

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