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• W2115475857 abstract "Parameter estimation of time-varying non-Gaussian autoregressive processes can be a highly nonlinear problem. The problem gets even more difficult if the functional form of the time variation of the process parameters is unknown. In this paper, we address parameter estimation of such processes by particle filtering, where posterior densities are approximated by sets of samples (particles) and particle weights. These sets are updated as new measurements become available using the principle of sequential importance sampling. From the samples and their weights we can compute a wide variety of estimates of the unknowns. In absence of exact modeling of the time variation of the process parameters, we exploit the concept of forgetting factors so that recent measurements affect current estimates more than older measurements. We investigate the performance of the proposed approach on autoregressive processes whose parameters change abruptly at unknown instants and with driving noises, which are Gaussian mixtures or Laplacian processes." @default.
• W2115475857 created "2016-06-24" @default.
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• W2115475857 date "2002-08-12" @default.
• W2115475857 modified "2023-10-14" @default.
• W2115475857 title "Sequential Parameter Estimation of Time-Varying Non-Gaussian Autoregressive Processes" @default.
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• W2115475857 doi "https://doi.org/10.1155/s1110865702205089" @default.
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