Derives analytical expressions for Voigt distribution properties and introduces the GCC filter preserving Voigt prediction-error density under Masreliez approximation.
Barndorff-Nielsen and Peter Reinhard Hansen and Asger Lunde and Neil Shephard , title =
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Exact Likelihood Inference and Robust Filtering for Gauss-Cauchy Convolution Models
Derives analytical expressions for Voigt distribution properties and introduces the GCC filter preserving Voigt prediction-error density under Masreliez approximation.