Mixture-based extension of the AR model and its recursive Bayesian identification

DOI10.1109/TSP.2005.853103zbMath1373.62441OpenAlexW2052701770MaRDI QIDQ5355840

Václav Šmídl, Anthony Quinn

Publication date: 20 September 2017

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tsp.2005.853103

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Detection theory in information and communication theory (94A13)

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