On Dynamic Generalized Linear Models with Applications |
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Authors: | Sourish Das Dipak K Dey |
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Institution: | 1. SAS Research and Development, Pune, India 2. Department of Statistics, University of Connecticut, Storrs, CT, 06264, USA
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Abstract: | In this paper we combine the idea of ‘power steady model’, ‘discount factor’ and ‘power prior’, for a general class of filter model, more specifically within a class of dynamic generalized linear models (DGLM). We show an optimality property for our proposed method and present the particle filter algorithm for DGLM as an alternative to Markov chain Monte Carlo method. We also present two applications; one on dynamic Poisson models for hurricane count data in Atlantic ocean and the another on the dynamic Poisson regression model for longitudinal count data. |
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