Posterior Analysis of State Space Model with Spherical Symmetricity

Ranjita Pandey

Journal of Probability and Statistics, 2015, vol. 2015, 1-7

Abstract:

The present work investigates state space model with nonnormal disturbances when the deviation from normality has been observed only with respect to kurtosis and the distribution of disturbances continues to follow a symmetric family of distributions. Spherically symmetric distribution is used to approximate behavior of symmetric nonnormal disturbances for discrete time series. The conditional posterior densities of the involved parameters are derived, which are further utilized in Gibbs sampler scheme for estimating the marginal posterior densities. The state space model with disturbances following multivariate- distribution, which is a particular case of spherically symmetric distribution, is discussed.

Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/JPS/2015/612024.pdf (application/pdf)
http://downloads.hindawi.com/journals/JPS/2015/612024.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:612024

DOI: 10.1155/2015/612024

Access Statistics for this article

More articles in Journal of Probability and Statistics from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().