𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Continuous Elliptical and Exponential Power Linear Dynamic Models

✍ Scribed by E. Gómez; M.A. Gómez-Villegas; J.M. Marı́n

Book ID
102603994
Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
130 KB
Volume
83
Category
Article
ISSN
0047-259X

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✦ Synopsis

This paper shows a generalization of the linear dynamic model, which is practical and easy to compute. The generalization is made by assuming a continuous elliptical joint distribution for the parameters and errors. Updated distribution and probabilistic characteristics of the current and future vector of state and observations are given. As a particular simple submodel, the one with a multidimensional exponential power initial distribution is developed. An example showing its use is given.

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