Sequential Monte Carlo simulation of dynamical models with slowly varying parameters: An extension

European Signal Processing Conference

Volumn 2002-March, Issue , 2002, Pages

  Fong, William ^a   Godsill, Simon ^a  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; INTELLIGENT SYSTEMS; SIGNAL PROCESSING;

DYNAMICAL MODEL; FILTERING ALGORITHM; PARAMETER EVOLUTION; PARTIAL CORRELATION; SEQUENTIAL MONTE CARLO SIMULATION; SLOW-TIME; SLOWLY VARYING PARAMETER; SPEECH DATA;

MONTE CARLO METHODS;

EID: 84960867788     PISSN: 22195491     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (5)

1. A. Doucet, N. de Freitas, and N. J. Gordon, editors. Sequential Monte Carlo Methods in Practice. New York: Springer-Verlag, 2001.
2. W. Fong and S. Godsill. Sequential Monte Carlo simulation of dynamical models with slowly varying parameters: Application to audio. In Proceedings of the IEEE ICASSP, 2002. To appear.
3. W. Fong, S. J. Godsill, A. Doucet, and M. West. Monte Carlo smoothing with application to audio signal enhancement. IEEE Transactions on Signal Processing, Special Issue, 50(2):438-449, February 2002.
4. Y. Grenier. Time-dependent ARMA modeling of nonstationary signals. IEEE Transactions on Acoustics, Speech and Signal Processing, 31(4):899-911, 1983.
5. A. C. Harvey. Forecasting, structural time series models and the Kalmanfilter. Cambridge University Press, 1989.