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

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

<p/> <p>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...

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Bibliographic Details
Main Authors: Kotecha Jayesh H, Esteve Fabien, Perret Etienne, Djuri&#263; Petar M
Format: Article
Language:English
Published: SpringerOpen 2002-01-01
Series:EURASIP Journal on Advances in Signal Processing
Subjects:
particle filtering
sequential importance sampling
forgetting factors
Gaussian mixtures
Online Access:http://dx.doi.org/10.1155/S1110865702205089

Internet

http://dx.doi.org/10.1155/S1110865702205089

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