Mixtures of skewed Kalman filters

DOI10.1016/j.jmva.2013.09.002zbMath1278.62154OpenAlexW2025634700MaRDI QIDQ391932

Marc G. Genton, Duchwan Ryu, Hyoung-Moon Kim, Bani. K. Mallick

Publication date: 13 January 2014

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.09.002

zbMATH Keywords

sequential importance samplingscale mixturesclosed skew-normal distributionsclosed skew-t distributiondiscrete mixtures

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05)

Related Items

Some properties of the unified skew-normal distribution, A flexible two-piece normal dynamic linear model, A skew-normal dynamic linear model and Bayesian forecasting

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