On-line Bayesian estimation of AR signals in symmetric alpha-stable noise
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- Saikat Saha, 2015. "Noise Robust Online Inference for Linear Dynamic Systems," Papers 1504.05723, arXiv.org.
- Lombardi, Marco J., 2007.
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- 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".
- 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.
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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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