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

parameter estimationGaussian mixturesparticle filteringsequential importance samplingforgetting factorson-line signal processingtime-varying non-Gaussian autoregressive processes

Mathematics Subject Classification ID

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

Recommendations

• Modeling non-Gaussian time-varying vector autoregressive processes by particle filtering
• Filtering discrete time nonlinear systems with unknown parameters: a nonparametric approach.
• Autoregressive model with partial forgetting within Rao-Blackwellized particle filter
• scientific article; zbMATH DE number 1127080
• New cumulant-based approaches for non-Gaussian time-varying AR models

Cited in

(15)

• Bayesian methods for time-varying state and parameter estimation in induction machines
• Dynamic modeling of mean-reverting spreads for statistical arbitrage
• Sequential Estimation of Hidden ARMA Processes by Particle Filtering—Part II
• Autoregressive model with partial forgetting within Rao-Blackwellized particle filter
• An approach to periodic, time-varying parameter estimation using nonlinear filtering
• Finite sample performance of linear least squares estimation
• Time-varying noise estimation for speech enhancement and recognition using sequential Monte Carlo method
• Sequential parameter learning and filtering in structured autoregressive state-space models
• Non-parametric estimation of time varying AR(1)-processes with local stationarity and periodicity
• Modeling non-Gaussian time-varying vector autoregressive processes by particle filtering
• Online data processing: comparison of Bayesian regularized particle filters
• Autoregressive approximations to nonstationary time series with inference and applications
• Time-varying Gaussian process assume density filter algorithm
• Consistent estimation for non-Gaussian non-causal autoregressive processes
• scientific article; zbMATH DE number 4215089 (Why is no real title available?)

This page was built for publication: Sequential parameter estimation of time-varying non-Gaussian autoregressive processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1854255)