Integration-based Kalman-filtering for a dynamic generalized linear trend model

Computational Statistics and Data Analysis

Volumn 13, Issue 4, 1992, Pages 447-459

  Schnatter, Sylvia ^a  

^a VIENNA UNIVERSITY OF ECONOMICS AND BUSINESS   (Austria)

Author keywords

Approximate Bayesian inference; Bayesian computation; Dynamic generalized linear models; Gauss Hermite integration; Kalman filtering for non Gaussian data; Non Gaussian state space models; Trend modelling

Indexed keywords

EID: 38249011766     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-9473(92)90118-Y     Document Type: Article

References (16)

1. Extended Kalman-Filtering for Non-normal Longitudinal Data
2. Consistency and Asymptotic Normality of the Maximum Likelihood Estimator in Generalized Linear Models
3. On Kalman-Filtering Posterior Mode Estimation and Fisher-Scoring in Dynamic Exponential Family Regression
4. Bayesian Forecasting
5. Non-Gaussian State Space Modelling of Nonstationary Time Series (with comments)
6. Application of a Method for the Efficient Computation of Posterior Distributions
7. Dynamic Bayesian Models and their Application to Hydrological Short-term Forecasting
8. The Implementation of the Bayesian Paradigma
9. Bayesian Forecasting and Dynamic Models
10. Dynamic Generalized Linear Models and Bayesian Forecasting
11. Dynamic Generalized Linear Models and Bayesian Forecasting