Dynamic Linear Models With Switching

作     者：Shumway, R. H. Stoffer, D. S. 

作者机构：Professor Division of Statistics University of California Davis CA 95616 Associate Professor Department of Mathematics and Statistics University of Pittsburgh Pittsburgh PA 15260 

出 版 物：《Journal of the American Statistical Association》 

年 卷 期：1991年第86卷第415期

页      面：763-769页

学科分类：0202[经济学-应用经济学] 02[经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 

主　　题：Change points Expectation-maximization algorithm Nonlinear models State-space Target tracking 

摘      要：The problem of modeling change in a vector time series is studied using a dynamic linear model with measurement matrices that switch according to a time-varying independent random process. We derive filtered estimators for the usual state vectors and also for the state occupancy probabilities of the underlying nonstationary measurement process. A maximum likelihood estimation procedure is given that uses a pseudo-expectation-maximization algorithm in the initial stages and nonlinear optimization. We relate the models to those considered previously in the literature and give an application revolving the tracking of multiple targets. [ABSTRACT FROM AUTHOR]