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

DOI10.1007/BF02613597zbMath0713.62092MaRDI QIDQ750064

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

smoothing; posterior mode estimation; Gauss-Newton algorithm; extended Kalman filtering; Approximate error covariance matrices; block- bidiagonal matrices; categorical responses; counted responses; Dynamic exponential family regression; factorization of information matrices; Fisher scoring iterations; forward-backward recursive form; time dependent parameters

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62J02: General nonlinear regression

65C99: Probabilistic methods, stochastic differential equations

Related Items

State‐space models for multivariate longitudinal data of mixed types, A general science-based framework for dynamical spatio-temporal models, Integration-based Kalman-filtering for a dynamic generalized linear trend model, Penalized likelihood estimation and iterative Kalman smoothing for non-Gaussian dynamic regression models, Simulated maximum likelihood in nonlinear continuous-discrete state space models: importance sampling by approximate smoothing, 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, Posterior mean and variance approximation for regression and time series problems

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