A flexible two-piece normal dynamic linear model

DOI10.1007/s00180-023-01355-3OpenAlexW4366823544MaRDI QIDQ6148405

Emanuele Aliverti, Reinaldo B. Arellano-Valle, Fereshteh Kahrari, Bruno Scarpa

Publication date: 7 February 2024

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-023-01355-3

zbMATH Keywords

Kalman filterBayesian inferenceskew-normal distributiontwo-piece normal distributionFFBS Algorithm

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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