A skewed Kalman filter

DOI10.1016/J.JMVA.2004.06.002zbMath1066.62091OpenAlexW2139679692WikidataQ116753176 ScholiaQ116753176MaRDI QIDQ2485999

Marc G. Genton, Philippe Naveau, Xilin Shen

Publication date: 5 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2004.06.002

zbMATH Keywords

State-space modelClosed skew-normal distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Inference from stochastic processes and prediction (62M20) Parametric inference (62F99) Sequential estimation (62L12)

Related Items (13)

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Cites Work

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• Additive properties of skew normal random vectors
• SHIFT AND SCALE COUPLING METHODS FOR PERFECT SIMULATION
• Statistical Applications of the Multivariate Skew Normal Distribution
• Partial non-Gaussian state space
• The multivariate skew-normal distribution
• A Bayesian Approach to Short-term Forecasting
• Moments of skew-normal random vectors and their quadratic forms

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