Robust Sequential Approximate Bayesian Estimation
نویسنده
چکیده
An approximation tothe sequential updating of the distribution flocation parameters of a linear time series model is developed for non-normal observations. The behaviour of the resulting non-linear recursive filtering algorithm isexamined and shown to have certain desirable properties for a variety of non-normal error distributions. Illustrative examples are given and relationships with previous work on robustness and sequential estimation are mentioned.
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