Continuous elliptical and exponential power linear dynamic models



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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. 22-36. ISSN 0047-259X

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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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