Non-Gaussian filter and smoother based on the Pearson distribution system

Journal of Time Series Analysis

Volumn 24, Issue 6, 2003, Pages 721-738

  Nagahara, Yuichi ^a  

^a MEIJI UNIVERSITY   (Japan)

Author keywords

General state space model; Non Gaussian filter; Pearson distribution system; Stochastic volatility model

Indexed keywords

EID: 0348156837     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2003.00331.x     Document Type: Article

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