Approximate Non-Gaussian Bayesian Estimation and Modal Consistency
Neil Gordon, A. F. M. Smith · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1993
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.