Kim, Hyoung-Moon; Ryu, Duchwan; Mallick, Bani K.; … - In: Journal of Multivariate Analysis 123 (2014) C, pp. 228-251
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...