A Bayesian Approach to Kalman Filter for Elliptically Contoured Distribution and its Application in Time Series Models

DOI10.1177/0008068319940102MaRDI QIDQ4320331zbMATH OpenOpenAlexFDO

Authors

Publication date 8 November 1999

Published in Calcutta Statistical Association Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1177/0008068319940102

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cited in

(1)

On the distribution of linear combinations of the components of a Dirichlet random vector

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