2026-06-29T07:26:46Zhttps://docta.ucm.es/rest/oai/requestoai:docta.ucm.es:20.500.14352/569032024-07-15T13:24:28Zcom_20.500.14352_14col_20.500.14352_15
Continuous elliptical and exponential power linear dynamic models
Gómez Villegas, Miguel Ángel
Marín Díazaraque, Juan Miguel
519.22
Continuous elliptical distribution
Multidimensional exponential power distribution
Global vector
Vector of state
Prior distribution
Updated distribution
Estadística matemática (Matemáticas)
1209 Estadística
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
DGESIC
Depto. de Estadística e Investigación Operativa
Fac. de Ciencias Matemáticas
TRUE
pub
2023-06-20T16:45:56Z
2023-06-20T16:45:56Z
2002
journal article
https://hdl.handle.net/20.500.14352/56903
0047-259X
10.1006/jmva.2001.2049
eng
PB98-0797.
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.
open access
application/pdf
Academic Press