Continuous elliptical and exponential power linear dynamic models
| dc.contributor.author | Gómez Villegas, Miguel Ángel | |
| dc.contributor.author | Marín Díazaraque, Juan Miguel | |
| dc.date.accessioned | 2023-06-20T16:45:56Z | |
| dc.date.available | 2023-06-20T16:45:56Z | |
| dc.date.issued | 2002 | |
| dc.description.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 | en |
| dc.description.department | Depto. de Estadística e Investigación Operativa | |
| dc.description.faculty | Fac. de Ciencias Matemáticas | |
| dc.description.refereed | TRUE | |
| dc.description.sponsorship | DGESIC | |
| dc.description.status | pub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/11149 | |
| dc.identifier.citation | 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. | |
| dc.identifier.doi | 10.1006/jmva.2001.2049 | |
| dc.identifier.issn | 0047-259X | |
| dc.identifier.officialurl | https//doi.org/10.1006/jmva.2001.2049 | |
| dc.identifier.relatedurl | http://www.sciencedirect.com/science/journal/0047259X | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/56903 | |
| dc.issue.number | 1 | |
| dc.journal.title | Journal of multivariate analysis | |
| dc.language.iso | eng | |
| dc.page.final | 36 | |
| dc.page.initial | 22 | |
| dc.publisher | Academic Press | |
| dc.relation.projectID | PB98-0797. | |
| dc.rights.accessRights | open access | |
| dc.subject.cdu | 519.22 | |
| dc.subject.keyword | Continuous elliptical distribution | |
| dc.subject.keyword | Multidimensional exponential power distribution | |
| dc.subject.keyword | Global vector | |
| dc.subject.keyword | Vector of state | |
| dc.subject.keyword | Prior distribution | |
| dc.subject.keyword | Updated distribution | |
| dc.subject.ucm | Estadística matemática (Matemáticas) | |
| dc.subject.unesco | 1209 Estadística | |
| dc.title | Continuous elliptical and exponential power linear dynamic models | en |
| dc.type | journal article | |
| dc.volume.number | 83 | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | c8f6ba8b-2df4-4f4a-ac9a-76e7b061e41a | |
| relation.isAuthorOfPublication | 29479933-0c45-4f34-a9f4-9607541a402e | |
| relation.isAuthorOfPublication.latestForDiscovery | 29479933-0c45-4f34-a9f4-9607541a402e |
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