Sequential parameter estimation of time-varying non-Gaussian autoregressive processes

DOI10.1155/S1110865702205089MaRDI QIDQ1854255zbMATH OpenOpenAlexFDO

Authors P. M. Djurić, Jayesh H. Kotecha, Fabien Esteve, Etienne Perret

Publication date 14 January 2003

Published in EURASIP Journal on Applied Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/s1110865702205089

zbMATH Keywords

forgetting factorsGaussian mixtureson-line signal processingparameter estimationparticle filteringsequential importance samplingtime-varying non-Gaussian autoregressive processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Review text

Summary: Parameter estimation of time-varying non-Gaussian autoregressive processes can be a highly nonlinear problem. The problem gets even more difficult if the functional form of the time variation of the process parameters is unknown. In this paper, we address parameter estimation of such processes by particle filtering, where posterior densities are approximated by sets of samples (particles) and particle weights. These sets are updated as new measurements become available using the principle of sequential importance sampling. From the samples and their weights we can compute a wide variety of estimates of the unknowns. In absence of exact modeling of the time variation of the process parameters, we exploit the concept of forgetting factors so that recent measurements affect current estimates more than older measurements. We investigate the performance of the proposed approach on autoregressive processes whose parameters change abruptly at unknown instants and with driving noises which are Gaussian mixtures or Laplacian processes.

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