GitHub

Fast evaluation of multivariate normal distributions

This package provides a fast way to evaluate the pdf and cdf of a standardized multivariate normal distribution. Currently, it only contains code for the bivariate normal distribution. The ...
JSTOR Daily

Density Expansions Based on the Multivariate Skew Normal Distribution

In this paper the multivariate skew normal distribution, introduced by Azzalini and Dalla Valle (1996), is used as a basis in density expansions. A short summary of main properties of the distribution ...
IEEE

The Multivariate Normal Inverse Gaussian distribution: EM-estimation and analysis of ...

Abstract: The heavy-tailed Multivariate Normal Inverse Gaussian (MNIG) distribution is a recent variance-mean mixture of a multivariate Gaussian with a univariate inverse Gaussian distribution. Due to ...
IEEE

Robust Kalman Filtering Based on Multivariate Geometric Skew Normal Distribution

Abstract: This paper introduces a novel robust Kalman filter, referred to as the robust Kalman filter based on multivariate geometric skew normal (MGSN) distribution (RKF-MGSN). The RKF -MGSN ...