RT Journal Article
T1 Continuous elliptical and exponential power linear dynamic models
A1 Gómez Villegas, Miguel Ángel
A1 Marín Díazaraque, Juan Miguel
AB 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
PB Academic Press
SN 0047-259X
YR 2002
FD 2002
LK https://hdl.handle.net/20.500.14352/56903
UL https://hdl.handle.net/20.500.14352/56903
LA eng
NO 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.
NO DGESIC
DS Docta Complutense
RD 7 abr 2025