SEQUENTIAL ESTIMATION OF STABLE AUTOREGRESSIVE CONTINUOUS-TIME MODEL PARAMETERS

Parameters estimation for continuous-time heavy-tailed signals modeled by α-stable autoregressive processes

Sequential Parameter Estimation of Time-Varying Non-Gaussian Autoregressive Processes

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 p...

Iterative Estimation Algorithm of Autoregressive Parameters

This paper presents an iterative autoregressive system parameter estimation algorithm in the presence of white observation noise. The algorithm is based on the parameter estimation bias correction approach. We use high order Yule–Walker equations, sequentially estimate the noise variance, and exploit these estimated variances for the bias correction. The improved performance of the proposed alg...

Efficient On-Line Estimation of Autoregressive Parameters

New procedures for estimating autoregressive parameters in AR(m) models are proposed. The proposed method allows for incorporation of auxiliary information into the estimation process and, under certain regularity conditions are consistent and asymptotically efficient. Also, these procedures are naturally on-line and do not require storing all the data. Theoretical results are presented in the ...

Bootstrapping continuous-time autoregressive processes

We develop a bootstrap procedure for Lévy-driven continuous-time autoregressive (CAR) processes observed at discrete regularly-spaced times. It is well known that a regularly sampled stationary Ornstein–Uhlenbeck process [i.e. a CAR(1) process] has a discrete-time autoregressive representation with i.i.d. noise. Based on this representation a simple bootstrap procedure can be found. Since regul...