Approximate Non-Gaussian Bayesian Estimation and Modal Consistency
针对非正态误差的动态线性模型，提出一种改进的递归估计方法，解决了模态近似算法的不稳定性问题，其改进基于后验模态一致性的概念。
SUMMARY A new recursive estimation procedure is proposed for the location of a dynamic linear model with non-normal errors. The procedure is a modification of a modal approximation algorithm, which is shown to be prone to instabilities. The modification is motivated by a notion of posterior modal consistency.