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

DOI10.1007/BF02613597MaRDI QIDQ750064zbMATH OpenFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 4098511 (Why is no real title available?)
• Composite Link Functions in Generalized Linear Models
• Consistency and asymptotic normality of the maximum likelihood estimator in generalized linear models
• Dynamic Generalized Linear Models and Bayesian Forecasting
• Maximum likelihood estimation and large-sample inference for generalized linear and nonlinear regression models
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• REGRESSION MODELS FOR NON‐STATIONARY CATEGORICAL TIME SERIES
• Regression models for nonstationary categorical time series: Asymptotic estimation theory

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(15)

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• Efficient computation of the maximum a posteriori path and parameter estimation in integrate-and-fire and more general state-space models
• State‐space models for multivariate longitudinal data of mixed types
• Fitting EXPAR models through the extended Kalman filter
• Penalized likelihood estimation and iterative Kalman smoothing for non-Gaussian dynamic regression models
• Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
• Moving average stochastic volatility models with application to inflation forecast
• Modeling the impact of common noise inputs on the network activity of retinal ganglion cells
• A general science-based framework for dynamical spatio-temporal models
• Bayesian-type count data models with varying coefficients: estimation and testing in the presence of overdispersion

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