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Posterior Analysis of State Space Model with Spherical Symmetricity
Author
Source
Journal of Probability and Statistics
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-12-07
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
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-t distribution, which is a particular case of spherically symmetric distribution, is discussed.
American Psychological Association (APA)
Pandey, Ranjita. 2015. Posterior Analysis of State Space Model with Spherical Symmetricity. Journal of Probability and Statistics،Vol. 2015, no. 2015, pp.1-7.
https://search.emarefa.net/detail/BIM-1070001
Modern Language Association (MLA)
Pandey, Ranjita. Posterior Analysis of State Space Model with Spherical Symmetricity. Journal of Probability and Statistics No. 2015 (2015), pp.1-7.
https://search.emarefa.net/detail/BIM-1070001
American Medical Association (AMA)
Pandey, Ranjita. Posterior Analysis of State Space Model with Spherical Symmetricity. Journal of Probability and Statistics. 2015. Vol. 2015, no. 2015, pp.1-7.
https://search.emarefa.net/detail/BIM-1070001
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1070001