scientific article

zbMath0607.62115MaRDI QIDQ3746742

Wolfgang Schneider

Publication date: 1986

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

predictionsmoothingHilbert spacemodel testingEM-algorithmstate space modeldynamic linear modelinformation matrix testasymptotic distribution theorygeneralized modelKalman filter equationmethod of scoringStability propertiessquare root methodML-estimationML-search proceduresrecursive estimation of time-dependent stochastic coefficientsTests of model adequacyuniqueness of the likelihood functionvarying parameter regressions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Related Items (2)

Analytical uses of Kalman filtering in econometrics — A survey ⋮ Systems of seemingly unrelated regression equations with time varying coefficients -- an interplay of Kalman filtering, scoring, EM- and MINQUE-method

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