On-line Bayesian estimation of AR signals in symmetric alpha-stable noise
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- Peters, G.W. & Sisson, S.A. & Fan, Y., 2012. "Likelihood-free Bayesian inference for α-stable models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3743-3756.
- Lombardi, Marco J., 2007.
"Bayesian inference for [alpha]-stable distributions: A random walk MCMC approach,"
Computational Statistics & Data Analysis, Elsevier, vol. 51(5), pages 2688-2700, February.
- Marco J. Lombardi, 2004. "Bayesian inference for alpha-stable distributions: a random walk MCMC approach," Econometrics Working Papers Archive wp2004_11, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Lombardi, Marco J. & Sgherri, Silvia, 2007. "(Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate," Working Paper Series 794, European Central Bank.
- Lombardi, Marco J. & Sgherri, Silvia, 2007.
"(Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate,"
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- Marco Lombardi & Silvia Sgherri, 2007. "(Un)naturally Low? Sequential Monte Carlo Tracking of the US Natural Interest Rate," DNB Working Papers 142, Netherlands Central Bank, Research Department.
- Saikat Saha, 2015. "Noise Robust Online Inference for Linear Dynamic Systems," Papers 1504.05723, arXiv.org.
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More about this item
Keywords
Particle filters; Kalman filter; Alpha-stable distributions; Scale mixture of normals.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2005-05-23 (Econometrics)
- NEP-ETS-2005-05-23 (Econometric Time Series)
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