Efficient particle filtering for jump Markov systems. Application to time-varying autoregressions

IEEE Transactions on Signal Processing

Volumn 51, Issue 7, 2003, Pages 1762-1770

  Andrieu, Christophe ^a   Davy, Manuel ^b,c   Doucet, Arnaud ^c  

^a UNIVERSITY OF BRISTOL   (United Kingdom)

^b ECOLE CENTRALE DE NANTES   (France)

^c UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; COMPUTER SIMULATION; MARKOV PROCESSES; MATHEMATICAL TRANSFORMATIONS; NONLINEAR SYSTEMS; REGRESSION ANALYSIS; TIME VARYING SYSTEMS;

PARTICLE FILTERING;

SIGNAL FILTERING AND PREDICTION;

EID: 0038538420     PISSN: 1053587X     EISSN: None     Source Type: Journal    
DOI: 10.1109/TSP.2003.810284     Document Type: Review

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