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This paper shows a practical and easy to compute generalization of the linear dynamic model, made by assuming a continuous elliptical joint distribution for the parameters and errors. Updated distribution and probabilistic characteristics of the[...]texto impreso
Gómez Sánchez-Manzano, Eusebio ; Gómez Villegas, Miguel A. ; Marín Diazaraque, Juan Miguel | Marcel Dekker Inc. | 2002-12-12This paper proposes a matrix variate generalization of the power exponential distribution family, which can be useful in generalizing statistical procedures in multivariate analysis and in designing robust alternatives to them. An example is add[...]texto impreso
Gómez Villegas, Miguel A. ; Gómez Sánchez-Manzano, Eusebio ; Marín Diazaraque, Juan Miguel | Marcel Dekker | 2008It is shown that a multivariate exponential power distribution is a scale mixture of normal distributions, with respect to a probability distribution function, when its kurtosis parameter belongs to the interval (0,1]. The corresponding mixing p[...]texto impreso
Gómez Villegas, Miguel A. ; Gómez Sánchez-Manzano, Eusebio ; Marín Diazaraque, Juan Miguel | Academic Press | 2006-02Two conditions are shown under which elliptical distributions are scale mixtures of normal distributions with respect to probability distributions. The issue of finding the mixing distribution function is also considered. As a unified theoretica[...]texto impreso
Gómez Sánchez-Manzano, Eusebio ; Gómez Villegas, Miguel A. ; Marín Diazaraque, Juan Miguel | Universidad Complutense de Madrid | 2003In this paper it is taken up a revision and characterization of the class of absolutely continuous elliptical distributions upon a parameterization based on the density function. Their properties (probabilistic characteristics, a±ne transformati[...]
