Robust estimation in non-linear state-space models with state-dependent noise

IEEE Transactions on Signal Processing

Volumn 62, Issue 8, 2014, Pages 2165-2175

  Agamennoni, Gabriel ^a   Nebot, Eduardo M ^a  

^a UNIVERSITY OF SYDNEY   (Australia)

Author keywords

Multi variate stochastic volatility; non Gaussian noise; non linear time series; robust estimation; state dependent noise; state space models

Indexed keywords

ALGORITHMS; ECONOMIC ANALYSIS;

NON-GAUSSIAN NOISE; NONLINEAR TIME SERIES; ROBUST ESTIMATION; STATE-DEPENDENT NOISE; STATE-SPACE MODELS; STOCHASTIC VOLATILITY;

ITERATIVE METHODS;

EID: 84897451422     PISSN: 1053587X     EISSN: None     Source Type: Journal    
DOI: 10.1109/TSP.2014.2305636     Document Type: Article

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