Applied state space modelling of non-Gaussian time series using integration-based Kalman filtering

Statistics and Computing

Volumn 4, Issue 4, 1994, Pages 259-269

  Frühwirth Schnatter, Sylvia ^a  

^a VIENNA UNIVERSITY OF ECONOMICS AND BUSINESS   (Austria)

Author keywords

Approximate Bayesian inference; Bayesian computation; dynamic generalized linear models; Gauss Hermite integration; Kalman filtering; model likelihood; non Gaussian time series; non normal state space models; robust filtering

Indexed keywords

EID: 0000761371     PISSN: 09603174     EISSN: 15731375     Source Type: Journal    
DOI: 10.1007/BF00156749     Document Type: Article

References (26)

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