Parameter estimation of a time-varying autoregressive model under -stable distributed noise conditions

MaRDI QIDQ3170800zbMATHFDO

Authors T.-S. Qiu, Na Li, Hongjie Li

Publication date 29 September 2011

zbMATH Keywords

parameter estimation\(\alpha\)-stable distributionleast \(p\)-normTVAR model

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Estimation and detection in stochastic control theory (93E10)

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(5)

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• An algorithm to estimate time-varying parameter SURE models under different types of restriction

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