Gómez Villegas, Miguel A. and Marín Diazaraque, Juan Miguel (2002) Continuous elliptical and exponential power linear dynamic models. Journal of multivariate analysis, 83 (1). pp. 2236. ISSN 0047259X

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Official URL: http://www.sciencedirect.com/science/journal/0047259X
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:  04 Mar 2016 15:11 
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