Quotation Frühwirth-Schnatter, Sylvia. 1992. Integration-based Kalman filtering for a dynamic generalized linear trend model. Computational Statistics & Data Analysis 13 447-459.




The topic of the paper is filtering for non-Gaussian dynamic (state space) models by approximate computation of posterior moments using numerical integration. A Gauss-Hermite procedure is implemented based on the approximate posterior mode estimator and curvature recently proposed in 121. This integration-based filtering method will be illustrated by a dynamic trend model for non-Gaussian time series. Comparision of the proposed method with other approximations ([15], [2]) is carried out by simulation experiments for time series from Poisson, exponential and Gamma distributions.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Computational Statistics and Data Analysis
Citation Index SCI
WU-Journal-Rating new FIN-A, VW-D, WH-B
Language English
Title Integration-based Kalman filtering for a dynamic generalized linear trend model
Volume 13
Year 1992
Page from 447
Page to 459
URL http://epub2.wu.ac.at/dyn/virlib/wp/eng/mediate/epub-wu-01_a06.pdf?ID=epub-wu-01_a06


Frühwirth-Schnatter, Sylvia (Details)
Institute for Statistics and Mathematics IN (Details)
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