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Covariance matrix and transfer function of dynamic generalized linear models
- Source :
- Journal of Computational and Applied Mathematics. 296:613-624
- Publication Year :
- 2016
- Publisher :
- Elsevier BV, 2016.
-
Abstract
- Statistical inference for dynamic generalized linear models (DGLMs) is challenging due to the time varying nature of the unknown parameters in these models. In this paper, we focus on the covariance matrix and the transfer function, the two key components in DGLMs. We first establish some convergence results for the covariance matrix estimation. We then provide an in-depth study of the transfer function on its stability and Fourier transformation, which is necessary for parameter estimation in DGLMs. Implications of our results on estimation in DGLMs are illustrated in the paper through a simulation study and a real data example. Our understanding on DGLMs has substantially improved though this study.
- Subjects :
- Mathematical optimization
Covariance function
Covariance matrix
Applied Mathematics
05 social sciences
Covariance intersection
Covariance
01 natural sciences
010104 statistics & probability
Computational Mathematics
Estimation of covariance matrices
Matérn covariance function
0502 economics and business
Applied mathematics
Rational quadratic covariance function
0101 mathematics
CMA-ES
050205 econometrics
Mathematics
Subjects
Details
- ISSN :
- 03770427
- Volume :
- 296
- Database :
- OpenAIRE
- Journal :
- Journal of Computational and Applied Mathematics
- Accession number :
- edsair.doi...........ab7b8c436f2304da07aa20c3dac85a7f