Dynamic Mixed Models for Irregularly Observed Time Series

Authors

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

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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Issue

Vol. 4 No. 4 (2000)

Section

Contents

How to Cite

Dynamic Mixed Models for Irregularly Observed Time Series. (2014). Resenhas Do Instituto De Matemática E Estatística Da Universidade De São Paulo, 4(4), 433-456. https://doi.org/10.11606/resimeusp.v4i4.75005