Mixtures of skewed Kalman filters
From MaRDI portal
Publication:391932
DOI10.1016/j.jmva.2013.09.002zbMath1278.62154MaRDI QIDQ391932
Marc G. Genton, Hyoung-Moon Kim, Duchwan Ryu, Bani. K. Mallick
Publication date: 13 January 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2013.09.002
sequential importance sampling; scale mixtures; closed skew-normal distributions; closed skew-t distribution; discrete mixtures
62H10: Multivariate distribution of statistics
62M20: Inference from stochastic processes and prediction
65C05: Monte Carlo methods