Best Linear Recursive Estimation for Mixed Linear Models
- 1 December 1981
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 76 (376) , 860
- https://doi.org/10.2307/2287581
Abstract
Recursive estimation techniques for fixed and completely random models are extended to mixed linear models. The Kalman filter is used to obtain recursive estimators for a two-part random model where the second random factor obeys a generalized autoregressive process. By passing to the limit in an appropriate way, recursions for the mixed model are derived.Keywords
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