Best Linear Recursive Estimation for Mixed Linear Models
William M. Sallas, David A. Harville · Journal of the American Statistical Association · 1981
Recursive estimation techniques for fixed and completely random models are extended to mixed linear models. The Kalman filter is used to obtain recursive estimators for a two-part random model where the second random factor obeys a generalized autoregressive process. By passing to the limit in an appropriate way, recursions for the mixed model are derived.