A scalable quasi-Newton estimation algorithm for dynamic generalised linear models

Guangbao Guo, Guoqi Qian and Lixing Zhu

Journal of Nonparametric Statistics, 2022, vol. 34, issue 4, 917-939

Abstract: This research develops a scalable computing method based on quasi-Newton algorithm for several estimation problems in dynamic generalised linear models (DGLMs). The new method is developed by applying the principle of maximising a pointwise penalised quasi-likelihood (PPQ) for a DGLM for observed data often of massive size. Statistical and computational challenges involved in this development have been effectively tackled by exploiting the specific block structure and sparsity involved in the underlying projection matrix. The obtained maximum PPQ estimator of the state vector in the DGLM has been shown to be consistent and asymptotically normal under regularity conditions. Numerical studies and real data applications are conducted to assess the performance of the developed method.

Date: 2022
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DOI: 10.1080/10485252.2022.2085263

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