Statistical modeling and inference problems with sample sizes substantially smaller than the number of available covariates are challenging. This is known as large p small n problem. Furthermore, the problem is more complicated when we have multiple correlated responses. We develop multivariate...

Normal state-space models are prevalent, but to increase the applicability of the Kalman filter, we propose mixtures of skewed, and extended skewed, Kalman filters. To do so, the closed skew-normal distribution is extended to a scale mixture class of closed skew-normal distributions. Some basic...