Robust Autoregression: Student-t Innovations Using Variational Bayes

DOI10.1109/TSP.2010.2080271zbMath1392.94151MaRDI QIDQ4572735

Jacqueline Christmas, Richard M. Everson

Publication date: 18 July 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Mathematics Subject Classification ID

Bayesian inference (62F15) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Related Items (8)

Likelihood-Based Inference in Autoregressive Models with Scaledt-Distributed Innovations by Means of EM-Based Algorithms ⋮ EM-based algorithms for autoregressive models with t-distributed innovations ⋮ Autoregressive processes with generalized hyperbolic innovations ⋮ Inexact Bayesian point pattern matching for linear transformations ⋮ Maximum a-posteriori estimation of autoregressive processes based on finite mixtures of scale-mixtures of skew-normal distributions ⋮ Leptokurtic and platykurtic class of robust symmetrical and asymmetrical time series models ⋮ Regularized LTI system identification in the presence of outliers: a variational EM approach ⋮ Autoregressive models with mixture of scale mixtures of Gaussian innovations

This page was built for publication: Robust Autoregression: Student-t Innovations Using Variational Bayes