Mixtures of skewed Kalman filters

DOI10.1016/J.JMVA.2013.09.002zbMath1278.62154OpenAlexW2025634700MaRDI QIDQ391932

Marc G. Genton, Duchwan Ryu, Hyoung-Moon Kim, Bani. K. Mallick

Publication date: 13 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.09.002

zbMATH Keywords

sequential importance samplingscale mixturesclosed skew-normal distributionsclosed skew-t distributiondiscrete mixtures

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05)

Related Items (3)

Some properties of the unified skew-normal distribution ⋮ A flexible two-piece normal dynamic linear model ⋮ A skew-normal dynamic linear model and Bayesian forecasting

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