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Continuous elliptical and exponential power linear dynamic models

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https//doi.org/10.1006/jmva.2001.2049

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2002

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Academic Press
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https://hdl.handle.net/20.500.14352/56903

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Gómez Villegas, M. Á., Marín Díazaraque, J. M. «Continuous Elliptical and Exponential Power Linear Dynamic Models». Journal of Multivariate Analysis, vol. 83, n.o 1, octubre de 2002, pp. 22-36. DOI.org (Crossref), https://doi.org/10.1006/jmva.2001.2049.

Abstract

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

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Estadística matemática (Matemáticas)

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1209 Estadística

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