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 ...
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 ...
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