文章基本信息

标题：Posterior Analysis of State Space Model with Spherical Symmetricity
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作者：Ranjita Pandey
期刊名称：Journal of Probability and Statistics
印刷版ISSN：1687-952X
电子版ISSN：1687-9538
出版年度：2015
卷号：2015
DOI：10.1155/2015/612024
出版社：Hindawi Publishing Corporation
摘要：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.