Bayesian Kalman filtering with elliptically contoured errors

DOI10.1093/biomet/81.2.390zbMath0807.62078OpenAlexW1996691256MaRDI QIDQ4319918

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Publication date: 15 January 1995

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/81.2.390

zbMATH Keywords

Kalman filterscale mixturerecursive equationsweak robustnessconditional posterior distributionmultivariate Student tgeneral elliptic distributionindependent normally distributed error sourcesone- step ahead predictive distribution

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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