Partial non-Gaussian state space
From MaRDI portal
Publication:4299487
DOI10.1093/biomet/81.1.115zbMath0796.62079OpenAlexW1975911643MaRDI QIDQ4299487
Publication date: 11 October 1994
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/81.1.115
predictionsmoothingEM algorithmfilteringmaximum likelihoodMetropolis algorithmseasonal adjustmentMarkov switching modelmultiplicative modelsunobserved componentsexact resultsfully BayesianGaussian mixture distributionsoutlier modelsdiscrete Markov chain componentsGaussian state space filteringnon- Gaussian times series modelspartial non-Gaussian state spacestochastic variance modelsStudents distribution
Inference from stochastic processes and prediction (62M20) Probabilistic methods, stochastic differential equations (65C99)
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