A Kalman filter based approach for estimating nonstationary VAR models via pole tracking

ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings

Volumn 2, Issue , 2000, Pages 685-688

  Elling, M ^a   Sherman, P ^a  

^a IOWA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

BANDPASS FILTERS; POLES; VALUE ENGINEERING; APPROXIMATION THEORY; COMPUTER SIMULATION; EIGENVALUES AND EIGENFUNCTIONS; MATRIX ALGEBRA; MONTE CARLO METHODS; POLYNOMIALS; REGRESSION ANALYSIS; STATE SPACE METHODS; TIME SERIES ANALYSIS; WHITE NOISE;

NONSTATIONARY; PERFORMANCE CHARACTERISTICS; REPARAMETERIZATION; SPECTRAL CONTENT; TIME VARYING; VAR MODELS; VECTOR AUTOREGRESSIVE MODEL;

SIGNAL PROCESSING; KALMAN FILTERING;

COVARIANCE MATRIX; FIRST ORDER TAYLOR EXPANSION; POLE TRACKING; TIME VARYING VECTOR AUTOREGRESSIVE MODEL;

EID: 0033677058     PISSN: 15206149     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ICASSP.2000.859052     Document Type: Conference Paper

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