Time-Series Filtering for Replicated Observations via a Kernel Approximate Bayesian Computation

DOI10.1109/TSP.2018.2872864MaRDI QIDQ4622503zbMATH OpenOpenAlexWikidataFDO

Authors Takanori Hasegawa, Kaname Kojima, Yosuke Kawai, Masao Nagasaki

Publication date 12 February 2019

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

Full work available at URL https://doi.org/10.1109/tsp.2018.2872864

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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