On Kalman filtering, posterior mode estimation and Fisher scoring in dynamic exponential family regression

DOI10.1007/BF02613597zbMath0713.62092MaRDI QIDQ750064

Ludwig Fahrmeir, Heinz Kaufmann

Publication date: 1991

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/176327

zbMATH Keywords

smoothingposterior mode estimationGauss-Newton algorithmextended Kalman filteringApproximate error covariance matricesblock- bidiagonal matricescategorical responsescounted responsesDynamic exponential family regressionfactorization of information matricesFisher scoring iterationsforward-backward recursive formtime dependent parameters

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) General nonlinear regression (62J02) Probabilistic methods, stochastic differential equations (65C99)

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