Variational Bayes for generalized autoregressive models
نویسندگان
چکیده
منابع مشابه
Variational Bayes for generalized autoregressive models
We describe a variational Bayes (VB) learning algorithm for generalized autoregressive (GAR) models. The noise is modeled as a mixture of Gaussians rather than the usual single Gaussian. This allows different data points to be associated with different noise levels and effectively provides robust estimation of AR coefficients. The VB framework is used to prevent overfitting and provides model-o...
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ژورنال
عنوان ژورنال: IEEE Transactions on Signal Processing
سال: 2002
ISSN: 1053-587X
DOI: 10.1109/tsp.2002.801921