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Continuous elliptical and exponential power linear dynamic models

Gómez Villegas, Miguel Ángel and Marín Diazaraque, Juan Miguel (2002) Continuous elliptical and exponential power linear dynamic models. Journal of multivariate analysis, 83 (1). pp. 22-36. ISSN 0047-259X

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Abstract

This paper shows a practical and easy to compute generalization of the linear dynamic model, made by assuming a continuous elliptical joint distribution for the parameters and errors. Updated distribution and probabilistic characteristics of the current and future vector of state and observations are given. As a particular simple submodel, the one with a multidimensional exponential power initial distribution is developed. An example to show its use is given


Item Type:Article
Uncontrolled Keywords:Continuous elliptical distribution; Multidimensional exponential power distribution; Global vector; Vector of state; Prior distribution; Updated distribution
Subjects:Sciences > Mathematics > Mathematical statistics
ID Code:11149
Deposited On:10 Sep 2010 08:28
Last Modified:06 Feb 2014 08:57

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