Estimation of time-varying AR \(S\alpha S\) processes using Gibbs sampling
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Publication:2377779
DOI10.1016/j.sigpro.2008.03.021zbMath1151.94360MaRDI QIDQ2377779
Deniz Gençağa, Ercan Engin Kuruoglu, Sinan Yıldırım, Ayşın Ertüzün
Publication date: 20 January 2009
Published in: Signal Processing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sigpro.2008.03.021
time-varying autoregressive processes; Markov chain Monte Carlo; particle filtering; \(\alpha \)-stable distributions; Bayesian estimation techniques
94A12: Signal theory (characterization, reconstruction, filtering, etc.)
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