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Estimation of variance components in dynamic linear models

✍ Scribed by Shelemyahu Zacks; Xiaodong Wang

Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
91 KB
Volume
41
Category
Article
ISSN
0167-7152

No coin nor oath required. For personal study only.

✦ Synopsis

Two types of recursive estimators are developed for the variance components 2 and 2 of the dynamic linear model: non-Bayesian and Bayesian. From a frequentist point of view, both types of estimators are mean square consistent. The non-Bayesian estimator of 2 is also unbiased.

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