On Kalman filtering, posterior mode estimation and Fisher scoring in dynamic exponential family regression

DOI10.1007/BF02613597zbMATH Open0713.62092MaRDI QIDQ750064FDOQ750064

Authors: Ludwig Fahrmeir, Heinz Kaufmann 

Publication date: 1991

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/176327

Recommendations

• Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
• scientific article; zbMATH DE number 7370522
• Fitting EXPAR models through the extended Kalman filter
• Penalized likelihood estimation and iterative Kalman smoothing for non-Gaussian dynamic regression models
• Posterior mode estimation in dynamic generalized linear mixed models
• Exact maximum-likelihood estimation of autoregressive models via the Kalman filter

zbMATH Keywords

smoothingcategorical responsesextended Kalman filteringGauss-Newton algorithmApproximate error covariance matricesblock- bidiagonal matricescounted responsesDynamic exponential family regressionfactorization of information matricesFisher scoring iterationsforward-backward recursive formposterior mode estimationtime dependent parameters

Mathematics Subject Classification ID

General nonlinear regression (62J02) Probabilistic methods, stochastic differential equations (65C99) Inference from stochastic processes and prediction (62M20)

Cites Work

• Dynamic Generalized Linear Models and Bayesian Forecasting
• Consistency and asymptotic normality of the maximum likelihood estimator in generalized linear models
• Composite Link Functions in Generalized Linear Models
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Regression models for nonstationary categorical time series: Asymptotic estimation theory
• REGRESSION MODELS FOR NON‐STATIONARY CATEGORICAL TIME SERIES
• Maximum likelihood estimation and large-sample inference for generalized linear and nonlinear regression models
• Title not available (Why is that?)

Cited In (15)

• Efficient computation of the maximum a posteriori path and parameter estimation in integrate-and-fire and more general state-space models
• Bayesian-type count data models with varying coefficients: estimation and testing in the presence of overdispersion
• Second-order Bayesian revision of a generalised linear model
• Simulated maximum likelihood in nonlinear continuous-discrete state space models: importance sampling by approximate smoothing
• Posterior mean and variance approximation for regression and time series problems
• A new look at state-space models for neural data
• Title not available (Why is that?)
• Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
• Penalized likelihood estimation and iterative Kalman smoothing for non-Gaussian dynamic regression models
• Moving average stochastic volatility models with application to inflation forecast
• Integration-based Kalman-filtering for a dynamic generalized linear trend model
• A general science-based framework for dynamical spatio-temporal models
• State‐space models for multivariate longitudinal data of mixed types
• Fitting EXPAR models through the extended Kalman filter
• Modeling the impact of common noise inputs on the network activity of retinal ganglion cells

This page was built for publication: On Kalman filtering, posterior mode estimation and Fisher scoring in dynamic exponential family regression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q750064)