Direct fitting of dynamic models using integrated nested Laplace approximations - INLA

@article{RuizCrdenas2012DirectFO,
  title={Direct fitting of dynamic models using integrated nested Laplace approximations - INLA},
  author={Ramiro Ruiz-C{\'a}rdenas and Elias T. Krainski and H{\aa}vard Rue},
  journal={Computational Statistics & Data Analysis},
  year={2012},
  volume={56},
  pages={1808-1828}
}
Inference in state-space models usually relies on recursive forms for filtering and smoothing of the state vectors regarding the temporal structure of the observations, an assumption that is, from our view point, unnecessary if the dataset is fixed, that is, completely available before analysis. In this paper, we propose a computational framework to perform approximate full Bayesian inference in linear and generalized dynamic linear models based on the Integrated Nested Laplace Approximation… CONTINUE READING

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