Sequential Parameter Estimation of Time-Varying Non-Gaussian Autoregressive Processes
نویسندگان
چکیده
منابع مشابه
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...
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R A I N E R DA H L H AU S , 1 M I C H A E L H . N E U M A N N 2 and RAINER VON SACHS 3 Institut fuÈ r Angewandte Mathematik, UniversitaÈ t Heidelberg, Im Neuenheimer Feld 294, D-69120 Heidelberg, Germany. E-mail: [email protected] SFB 373, Humboldt-UniversitaÈ t zu Berlin, Spandauer Strasse 1, D-10178 Berlin, Germany. E-mail: [email protected] Institut de Statistique, U...
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ژورنال
عنوان ژورنال: EURASIP Journal on Advances in Signal Processing
سال: 2002
ISSN: 1687-6180
DOI: 10.1155/s1110865702205089