Sequential parameter learning and filtering in structured autoregressive state-space models

DOI10.1007/S11222-011-9289-1zbMath1322.62219OpenAlexW2032886429MaRDI QIDQ746251

Hedibert Freitas Lopes, Raquel Prado

Publication date: 16 October 2015

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-011-9289-1

zbMATH Keywords

sequential filtering and parameter learningstate-space autoregressionsstructured priors

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to biology and medical sciences; meta analysis (62P10) Learning and adaptive systems in artificial intelligence (68T05) Sequential estimation (62L12)

Related Items (3)

Sequential modeling, monitoring, and forecasting of streaming web traffic data ⋮ Evolutionary State-Space Model and Its Application to Time-Frequency Analysis of Local Field Potentials ⋮ A family of multivariate non‐gaussian time series models

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• Miscellanea. Time series decomposition
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• Priors and Component Structures in Autoregressive Time Series Models

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