A dynamic linear model with extended skew-normal for the initial distribution of the state parameter

DOI10.1016/J.CSDA.2013.12.008MaRDI QIDQ1623448zbMATH OpenOpenAlexFDO

Authors Celso Rômulo Barbosa Cabral, Cibele Q. da-Silva, Helio S. Migon

Publication date 23 November 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2013.12.008

zbMATH Keywords

Bayesian analysisdynamic modelsGibbs samplerKalman filterskew-normal distribution

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Multivariate distribution of statistics (62H10) Inference from stochastic processes and prediction (62M20)

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Cites work

• A skewed Kalman filter
• Bayesian analysis of skew-normal independent linear mixed models with heterogeneity in the random-effects population
• Bayesian forecasting and dynamic models.
• Bayesian Measures of Model Complexity and Fit
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Dynamic Linear Models with R
• scientific article; zbMATH DE number 5668407 (Why is no real title available?)
• Matrix theory. Basic results and techniques
• Multivariate extended skew-t distributions and related families
• On fundamental skew distributions
• On the Unification of Families of Skew-normal Distributions
• Robust linear mixed models with skew-normal independent distributions from a Bayesian perspective
• Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
• Stochastic volatility with leverage: fast and efficient likelihood inference
• The Skew-normal Distribution and Related Multivariate Families*
• Time series analysis by state space methods
• Unobserved components models in economics and finance

Cited in

(5)

• Kalman filter variants in the closed skew normal setting
• A skew-normal dynamic linear model and Bayesian forecasting
• A skewed Kalman filter
• A flexible two-piece normal dynamic linear model
• Pruned skewed Kalman filter and smoother with application to DSGE models

Describes a project that uses

Uses Software

• dlm
• sspir
• R
• sn

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