Mixture-based extension of the AR model and its recursive Bayesian identification

DOI10.1109/TSP.2005.853103MaRDI QIDQ5355840zbMATH OpenOpenAlexFDO

Authors Václav Smídl, Anthony Quinn

Publication date 20 September 2017

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

Full work available at URL https://doi.org/10.1109/tsp.2005.853103

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Detection theory in information and communication theory (94A13)

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Cited in

(3)

• Estimation and prediction with ARMMAX model: a mixture of ARMAX models with common ARX part
• Estimation algorithm for system with non-Gaussian multiplicative/additive noises based on variational Bayesian inference
• A variational Bayesian methodology for hidden Markov models utilizing Student's-\(t\) mixtures

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