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Fahrmeir, Ludwig and Wagenpfeil, Stefan (1995): Penalized likelihood estimation and iterative kalman smoothing for non-gaussian dynamic regression models. Collaborative Research Center 386, Discussion Paper 5
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Abstract

Dynamic regression or state space models provide a flexible framework for analyzing non-Gaussian time series and longitudinal data, covering for example models for discrete longitudinal observations. As for non-Gaussian random coefficient models, a direct Bayesian approach leads to numerical integration problems, often intractable for more complicated data sets. Recent Markov chain Monte Carlo methods avoid this by repeated sampling from approximative posterior distributions, but there are still open questions about sampling schemes and convergence. In this article we consider simpler methods of inference based on posterior modes or, equivalently, maximum penalized likelihood estimation. From the latter point of view, the approach can also be interpreted as a nonparametric method for smoothing time-varying coefficients. Efficient smoothing algorithms are obtained by iteration of common linear Kalman filtering and smoothing, in the same way as estimation in generalized linear models with fixed effects can be performed by iteratively weighted least squares estimation. The algorithm can be combined with an EM-type method or cross-validation to estimate unknown hyper- or smoothing parameters. The approach is illustrated by applications to a binary time series and a multicategorical longitudinal data set.