Kalman filter variants in the closed skew normal setting
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DOI: 10.1016/j.csda.2014.01.014
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- Flecher, C. & Naveau, P. & Allard, D., 2009. "Estimating the closed skew-normal distribution parameters using weighted moments," Statistics & Probability Letters, Elsevier, vol. 79(19), pages 1977-1984, October.
- Gupta, Arjun K. & González-Farías, Graciela & Domínguez-Molina, J. Armando, 2004. "A multivariate skew normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 89(1), pages 181-190, April.
- Omid Karimi & Mohsen Mohammadzadeh, 2012. "Bayesian spatial regression models with closed skew normal correlated errors and missing observations," Statistical Papers, Springer, vol. 53(1), pages 205-218, February.
- Naveau, Philippe & Genton, Marc G. & Shen, Xilin, 2005. "A skewed Kalman filter," Journal of Multivariate Analysis, Elsevier, vol. 94(2), pages 382-400, June.
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Cited by:
- Gaygysyz Guljanov & Willi Mutschler & Mark Trede, 2022.
"Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve,"
CQE Working Papers
10122, Center for Quantitative Economics (CQE), University of Muenster.
- Guljanov, Gaygysyz & Mutschler, Willi & Trede, Mark, 2022. "Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve," Dynare Working Papers 78, CEPREMAP.
- Reinaldo B. Arellano-Valle & Javier E. Contreras-Reyes & Freddy O. López Quintero & Abel Valdebenito, 2019. "A skew-normal dynamic linear model and Bayesian forecasting," Computational Statistics, Springer, vol. 34(3), pages 1055-1085, September.
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Keywords
Recursive Bayesian estimation; Closed skew normal distribution; Ensemble Kalman filter; Nonlinear system; Petroleum reservoir;All these keywords.
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