A Bayesian Approach to Kalman Filter for Elliptically Contoured Distribution and its Application in Time Series Models

DOI10.1177/0008068319940102zbMath0925.62394OpenAlexW2508685974MaRDI QIDQ4320331

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Publication date: 8 November 1999

Published in: Calcutta Statistical Association Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1177/0008068319940102

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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