Sequential parameter estimation of time-varying non-Gaussian autoregressive processes

DOI10.1155/S1110865702205089zbMath1013.94002OpenAlexW2115475857MaRDI QIDQ1854255

Petar M. Djurić, Jayesh H. Kotecha, Etienne Perret, Fabien Esteve

Publication date: 14 January 2003

Published in: EURASIP Journal on Applied Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/s1110865702205089

zbMATH Keywords

parameter estimationGaussian mixturesparticle filteringsequential importance samplingforgetting factorson-line signal processingtime-varying non-Gaussian autoregressive processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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