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On kalman filtering, posterior mode estimation and fisher scoring in dynamic exponential family regression

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  • L. Fahrmeir
  • H. Kaufmann

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  • L. Fahrmeir & H. Kaufmann, 1991. "On kalman filtering, posterior mode estimation and fisher scoring in dynamic exponential family regression," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 38(1), pages 37-60, December.
    • Handle: RePEc:spr:metrik:v:38:y:1991:i:1:p:37-60
    DOI: 10.1007/BF02613597
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    References listed on IDEAS

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    1. R. Thompson & R. J. Baker, 1981. "Composite Link Functions in Generalized Linear Models," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 30(2), pages 125-131, June.
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    Cited by:

    1. J. Durbin & S. J. Koopman, 2000. "Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(1), pages 3-56.
    2. Christopher Wikle & Mevin Hooten, 2010. "A general science-based framework for dynamical spatio-temporal models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 19(3), pages 417-451, November.
    3. Chan, Joshua C.C., 2013. "Moving average stochastic volatility models with application to inflation forecast," Journal of Econometrics, Elsevier, vol. 176(2), pages 162-172.
    4. Rutger Jan Lange, 2020. "Bellman filtering for state-space models," Tinbergen Institute Discussion Papers 20-052/III, Tinbergen Institute, revised 19 May 2021.
    5. Antonio Pesce, 2013. "Is Decoupling in action?," ERSA conference papers ersa13p1252, European Regional Science Association.
    6. Fahrmeir, Ludwig & Wagenpfeil, Stefan, 1997. "Penalized likelihood estimation and iterative Kalman smoothing for non-Gaussian dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 24(3), pages 295-320, May.
    7. Eftychios A Pnevmatikakis & Keith Kelleher & Rebecca Chen & Petter Saggau & Krešimir Josić & Liam Paninski, 2012. "Fast Spatiotemporal Smoothing of Calcium Measurements in Dendritic Trees," PLOS Computational Biology, Public Library of Science, vol. 8(6), pages 1-17, June.
    8. Hermann Singer, 2003. "Simulated Maximum Likelihood in Nonlinear Continuous-Discrete State Space Models: Importance Sampling by Approximate Smoothing," Computational Statistics, Springer, vol. 18(1), pages 79-106, March.
    9. Charalampidis, Nikolaos, 2020. "On unemployment cycles in the Euro Area, 1999–2018," European Economic Review, Elsevier, vol. 121(C).

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