Abstract
In dynamic linear models it is often necessary to consider a more robust model than the normal one because of the appearance of outliers. Here, we consider that errors and parameters that follow a multivariate exponential power distribution. In the univariate version, this distribution has been successfully applied to robustify statistical procedures. In this chapter, a robust version of the standard normal dynamic linear model., the exponential power dynamic linear model, is introduced and applied to study the temporal relationship between the activity rate and the unemployment rate in the community of Valencia, Spain.
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Marín, J.M. (2000). A Robust Version of the Dynamic Linear Model with an Economic Application. In: Insua, D.R., Ruggeri, F. (eds) Robust Bayesian Analysis. Lecture Notes in Statistics, vol 152. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-1306-2_20
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DOI: https://doi.org/10.1007/978-1-4612-1306-2_20
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-98866-5
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