Systems of seemingly unrelated regression equations with time varying coefficients -- an interplay of Kalman filtering, scoring, EM- and MINQUE-method

DOI10.1016/0898-1221(92)90183-IzbMath0756.62046MaRDI QIDQ1202452

Wolfgang Schneider

Publication date: 11 February 1993

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

scoringmaximum likelihood estimationKalman filteringMINQUEsimulation studytime varying coefficientshyperparametersEM-methodseemingly unrelated regression equationsadaptive method of variance component estimationsingle equation model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Probabilistic methods, stochastic differential equations (65C99)

Uses Software

• astsa

Cites Work

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