Zacks, Shelemyahu; Wang, Xiaodong - In: Statistics & Probability Letters 41 (1999) 3, pp. 325-330
Two types of recursive estimators are developed for the variance components [sigma]2 and [tau]2 of the dynamic linear model: non-Bayesian and Bayesian. From a frequentist point of view, both types of estimators are mean square consistent. The non-Bayesian estimator of [sigma]2 is also unbiased.