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Journal of Probability and Statistics
Volume 2015, Article ID 612024, 7 pages
Research Article

Posterior Analysis of State Space Model with Spherical Symmetricity

Department of Statistics, University of Delhi, Delhi 110007, India

Received 28 June 2015; Revised 15 October 2015; Accepted 18 October 2015

Academic Editor: Shein-chung Chow

Copyright © 2015 Ranjita Pandey. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


The present work investigates state space model with nonnormal disturbances when the deviation from normality has been observed only with respect to kurtosis and the distribution of disturbances continues to follow a symmetric family of distributions. Spherically symmetric distribution is used to approximate behavior of symmetric nonnormal disturbances for discrete time series. The conditional posterior densities of the involved parameters are derived, which are further utilized in Gibbs sampler scheme for estimating the marginal posterior densities. The state space model with disturbances following multivariate- distribution, which is a particular case of spherically symmetric distribution, is discussed.