Estimation of time-varying AR S S processes using Gibbs sampling

DOI10.1016/J.SIGPRO.2008.03.021zbMATH Open1151.94360OpenAlexW1996869011MaRDI QIDQ2377779FDOQ2377779

Authors: Deniz Gençağa, Ercan E. Kuruoglu, Ayşın Ertüzün, Sinan Yıldırım 

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

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zbMATH Keywords

Markov chain Monte Carloparticle filteringtime-varying autoregressive processes\(\alpha \)-stable distributionsBayesian estimation techniques

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (6)

• Title not available (Why is that?)
• Inference of time-varying regression models
• Modeling non-Gaussian time-varying vector autoregressive processes by particle filtering
• Estimation of time-varying autoregressive stochastic volatility models with stable innovations
• Title not available (Why is that?)
• Modelling with mixture of symmetric stable distributions using Gibbs sampling

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