New cumulant-based approaches for non-Gaussian time-varying AR models

DOI10.1016/0165-1684(94)90127-9zbMath0803.62079OpenAlexW2113050017MaRDI QIDQ1336824

M'hamed Bakrim, Mohamed Najim, Driss Aboutajdine

Publication date: 8 December 1994

Published in: Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1684(94)90127-9

zbMATH Keywords

comparative studynon-Gaussian signalsadaptive gradient-type algorithmadditive, zero-mean, white Gaussian noiseautocorrelation-basedbatch-type evolutive methodcausal autoregressive evolution modelsnew cumulant- based methodstime-varying AR parameters estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics (62P99) Survival analysis and censored data (62N99) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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