A bayesian monte carlo markov chain method for parameter estimation of fractional differenced gaussian processes

IEEE Transactions on Signal Processing

Volumn 61, Issue 9, 2013, Pages 2405-2412

  Olivares, G ^a   Teferle, F N ^a  

^a UNIVERSITY OF LUXEMBOURG   (Luxembourg)

Author keywords

Bayesian methods; Monte Carlo methods; parameter estimation; stochastic processes; time series analysis

Indexed keywords

BAYESIAN METHODS; GAUSSIAN PROCESSES; LIKELIHOOD FUNCTIONS; MATHEMATICAL PROOF; MONTE CARLO INTEGRATION; MONTE CARLO MARKOV CHAIN; OPTIMIZATION METHOD; STATIONARY REGIME;

BAYESIAN NETWORKS; GAUSSIAN DISTRIBUTION; GAUSSIAN NOISE (ELECTRONIC); PARAMETER ESTIMATION; RANDOM PROCESSES; TIME SERIES ANALYSIS; UNCERTAINTY ANALYSIS; WHITE NOISE;

MONTE CARLO METHODS;

EID: 84876249869     PISSN: 1053587X     EISSN: None     Source Type: Journal    
DOI: 10.1109/TSP.2013.2245658     Document Type: Article

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