Continuous elliptical and exponential power linear dynamic models

DOI10.1006/JMVA.2001.2049MaRDI QIDQ1867132zbMATH OpenOpenAlexFDO

Authors Eusebio Gómez, Miguel A. Gómez-Villegas, J. M. Marín

Publication date 2 April 2003

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

Full work available at URL https://doi.org/10.1006/jmva.2001.2049

zbMATH Keywords

prior distributioncontinuous elliptical distributionglobal vectormultidimensional exponential power distributionupdated distributionvector of state

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 3976122 (Why is no real title available?)
• scientific article; zbMATH DE number 3673370 (Why is no real title available?)
• scientific article; zbMATH DE number 45785 (Why is no real title available?)
• scientific article; zbMATH DE number 48335 (Why is no real title available?)
• scientific article; zbMATH DE number 3545060 (Why is no real title available?)
• A multivariate generalization of the power exponential family of distributions
• Bayesian Kalman filtering with elliptically contoured errors
• Bayesian forecasting and dynamic models.
• Estimation and decision for linear systems with elliptical random processes
• On the theory of elliptically contoured distributions

Cited in

(8)

• scientific article; zbMATH DE number 4201438 (Why is no real title available?)
• Elliptically symmetric distributions: a review of achieved results and open issues
• A Bayesian test for the mean of the power exponential distribution
• Extensions of saddlepoint-based bootstrap inference
• The power piecewise exponential model
• A robust version of the dynamic linear model with an economic application
• The complementary exponential power lifetime model
• Conditional Specification with Exponential Power Distributions

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