Robust Sequential Approximate Bayesian Estimation
Journal of the Royal Statistical Society Series B (Statistical Methodology)Published 1 January 1981
Michael L. West
Citations84
SJR quartileQ1
SJR score3.31
SNIP2.48
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Abstract
SUMMARY An approximation to the sequential updating of the distribution of location parameters of a linear time series model is developed for non-normal observations. The behaviour of the resulting non-linear recursive filtering algorithm is examined 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.
Keywords
Computer ScienceDecision SciencesEngineering
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