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Estimation of variance components in dynamic linear models

Author

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  • Zacks, Shelemyahu
  • Wang, Xiaodong

Abstract

Two types of recursive estimators are developed for the variance components [sigma]2 and [tau]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 [sigma]2 is also unbiased.

Suggested Citation

  • Zacks, Shelemyahu & Wang, Xiaodong, 1999. "Estimation of variance components in dynamic linear models," Statistics & Probability Letters, Elsevier, vol. 41(3), pages 325-330, February.
    • Handle: RePEc:eee:stapro:v:41:y:1999:i:3:p:325-330
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