Non-Gaussian Filter and Smoother Based on the Pearson Distribution System

The Pearson distribution system can represent wide class of distributions with various skewness and kurtosis. We develop a practical approach of using all types of its distribution system including the type-IV distribution which was difficult to implement. Copyright 2003 Blackwell Publishing Ltd.

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Year of publication:	2003
Authors:	Nagahara, Yuichi
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 24.2003, 6, p. 721-738
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005260699