Updating linear models with dependent errors to include additional data and/or parameters

DOI10.1016/0024-3795(95)00255-3zbMath0843.62072OpenAlexW2011898941MaRDI QIDQ1914237

Stephen J. Haslett

Publication date: 5 June 1996

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0024-3795(95)00255-3

zbMATH Keywords

reviewcorrelated errorsgeneral linear modelsestimated generalized least squares estimatorsgeneralization of the Kalman filterminimum variance, linear unbiased parameter estimatesmodel error autocorrelationupdating equations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Linear regression; mixed models (62J05) Linear inference, regression (62J99)

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