A flexible two-piece normal dynamic linear model

DOI10.1007/S00180-023-01355-3MaRDI QIDQ6148405zbMATH OpenOpenAlexFDO

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

Publication date 7 February 2024

Published in Computational Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

Bayesian inferenceFFBS AlgorithmKalman filterskew-normal distributiontwo-piece normal distribution

Mathematics Subject Classification ID

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

Cites work

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• On Gibbs sampling for state space models
• Skew-Normal ARMA Models with Nonlinear Heteroscedastic Predictors
• Statistical Applications of the Multivariate Skew Normal Distribution
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