Continuous elliptical and exponential power linear dynamic models

DOI10.1006/jmva.2001.2049zbMath1020.62046OpenAlexW2074277143MaRDI QIDQ1867132

J. Miguel Marín, Eusebio Gómez, Miguel Angel Gómez-Villegas

Publication date: 2 April 2003

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.2001.2049

zbMATH Keywords

prior distributioncontinuous elliptical distributionglobal vectormultidimensional exponential power distributionupdated distributionvector of state

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Inference from stochastic processes and prediction (62M20)

Related Items (4)

Elliptically Symmetric Distributions: A Review of Achieved Results and Open Issues ⋮ Conditional Specification with Exponential Power Distributions ⋮ Extensions of saddlepoint-based bootstrap inference ⋮ A Bayesian Test for the Mean of the Power Exponential Distribution

Cites Work

• Bayesian forecasting and dynamic models.
• On the theory of elliptically contoured distributions
• Bayesian Kalman filtering with elliptically contoured errors
• A multivariate generalization of the power exponential family of distributions
• Estimation and decision for linear systems with elliptical random processes
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