Reml and best linear unbiased prediction in state space models

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

zbMATH Keywords

smoothingbest linear unbiased predictionforecastingstate space modelrestricted maximum likelihoodhierarchical modelsdiffuse Kalman filter

Mathematics Subject Classification ID

Statistics (62-XX)

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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