Dynamic Mixed Models for Irregularly Observed Time Series

Authors

  • Robert H. Shumway University of California. Division of Statistics

DOI:

https://doi.org/10.11606/resimeusp.v4i4.75005

Keywords:

State-space model, EM algorithm

Abstract

We review the conventional dynamic linear model in state-space form and give a useful generalization that admits fixed covariates to the measurement equation while treating the state vectors as time-varying random effects.

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Published

2000-05-10

Issue

Vol. 4 No. 4 (2000)

Section

Contents

License

Copyright (c) 2000 Robert H. Shumway

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.

How to Cite

Dynamic Mixed Models for Irregularly Observed Time Series. (2000). Resenhas Do Instituto De Matemática E Estatística Da Universidade De São Paulo, 4(4), 433-456. https://doi.org/10.11606/resimeusp.v4i4.75005