Penalized likelihood estimation and iterative Kalman smoothing for non-Gaussian dynamic regression models

Computational Statistics and Data Analysis

Volumn 24, Issue 3, 1997, Pages 295-320

  Fahrmeir, Ludwig ^a   Wagenpfeil, Stefan ^a  

^a UNIVERSITY OF MUNICH   (Germany)

Author keywords

Discrete observations; Hyperparameter estimation; Non Gaussian longitudinal data; Smoothing; State space models; Time varying coefficients

Indexed keywords

DATA REDUCTION; ITERATIVE METHODS; KALMAN FILTERING; MATHEMATICAL MODELS; PARAMETER ESTIMATION; STATE SPACE METHODS;

DYNAMIC REGRESSION MODELS;

REGRESSION ANALYSIS;

KALMAN FILTERING; MAXIMUM LIKELIHOOD; NON GAUSSIAN REGRESSION; SMOOTHING ALGORITHM;

EID: 0031131588     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-9473(96)00064-3     Document Type: Article

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