Modeling non-Gaussian time-varying vector autoregressive processes by particle filtering

Multidimensional Systems and Signal Processing

Volumn 21, Issue 1, 2010, Pages 73-85

  Gençaǧa, Deniz ^a   Kuruoǧlu, Ercan E ^b   Ertüzün, Ayşin ^c  

^a CITY UNIVERSITY OF NEW YORK   (United States)

^b ISTI CNR   (Italy)

^c BOGAZICI UNIVERSITY   (Turkey)

Author keywords

Cross correlated processes; Particle filtering; Sequential Monte Carlo; Vector autoregressive processes

Indexed keywords

ANALYTICAL TOOL; AUTO REGRESSIVE PROCESS; BIOMEDICAL SIGNAL; CHEMICAL PROCESS; CROSS-CORRELATIONS; GAUSSIAN MODEL; GAUSSIAN PROCESSES; MOBILE COMMUNICATION CHANNELS; NON-GAUSSIAN; NON-GAUSSIAN DISTRIBUTION; PARTICLE FILTERING; SEQUENTIAL BAYESIAN ESTIMATION; SEQUENTIAL MONTE CARLO; SIMULATION RESULT; TIME VARYING; TIME VARYING PARAMETER;

BAYESIAN NETWORKS; BIOELECTRIC PHENOMENA; GAUSSIAN DISTRIBUTION; MONTE CARLO METHODS; NONLINEAR FILTERING; TIME VARYING SYSTEMS; VECTORS;

GAUSSIAN NOISE (ELECTRONIC);

EID: 77951294377     PISSN: 09236082     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11045-009-0081-8     Document Type: Article

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