标题：Covariance matrix and transfer function of dynamic generalized linear models
作者：Guo, Guangbao; You, Wenjie; Lin, Lu; Qian, Guoqi
作者机构：[Guo, Guangbao; Lin, Lu] Shandong Univ, Sch Math, Jinan 250100, Peoples R China.; [Guo, Guangbao] Shandong Univ Technol, Dept Stat, Zibo 255000, Peo 更多
通讯作者地址：[Guo, GB]Shandong Univ, Sch Math, Jinan 250100, Peoples R China.
来源：JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
关键词：Dynamic generalized linear models; Covariance matrix; Transfer function
摘要：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. (C) 2015 Elsevier B.V. All rights reserved.