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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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 10:28 |
| Last Modified: | 10 Sep 2010 10:28 |
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