Continuous Elliptical and Exponential Power Linear Dynamic Models

E. Gómez, M. A. Gómez-Villegas and J. M. Marín

Journal of Multivariate Analysis, 2002, vol. 83, issue 1, 22-36

Abstract: 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.

Keywords: continuous; elliptical; distribution; multidimensional; exponential; power; distribution; global; vector; vector; of; state; prior; distribution; updated; distribution (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (1)

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