Sequential parameter estimation of time-varying non-Gaussian autoregressive processes
DOI10.1155/S1110865702205089zbMath1013.94002MaRDI QIDQ1854255
Petar M. Djurić, Jayesh H. Kotecha, Etienne Perret, Fabien Esteve
Publication date: 14 January 2003
Published in: EURASIP Journal on Applied Signal Processing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/s1110865702205089
parameter estimation; Gaussian mixtures; particle filtering; sequential importance sampling; forgetting factors; on-line signal processing; time-varying non-Gaussian autoregressive processes
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
93E11: Filtering in stochastic control theory
93E10: Estimation and detection in stochastic control theory
94A12: Signal theory (characterization, reconstruction, filtering, etc.)
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