Reml and best linear unbiased prediction in state space models
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Publication:4843684
DOI10.1080/03610929408831384zbMath0825.62210OpenAlexW2059228027MaRDI QIDQ4843684
John V. Tsimikas, Johannes Ledolter
Publication date: 17 August 1995
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610929408831384
smoothingbest linear unbiased predictionforecastingstate space modelrestricted maximum likelihoodhierarchical modelsdiffuse Kalman filter
Related Items (3)
Bias-correction of Kalman filter estimators associated to a linear state space model with estimated parameters ⋮ Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models ⋮ Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters
Cites Work
- Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
- The diffuse Kalman filter
- That BLUP is a good thing: The estimation of random effects. With comments and a rejoinder by the author
- FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
- Covariances for smoothed estimates in state space models
- INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
- STATE SPACE MODELS WITH DIFFUSE INITIAL CONDITIONS
- Bayesian inference for variance components using only error contrasts
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