Monte Carlo Bayesian filtering and smoothing for TVAR signals in symmetric α-stable noise

Abstract

In this paper we propose an on-line Bayesian filtering and smoothing method for time series models with heavy-tailed alpha-stable noise, with a particular focus on TVAR models. We first point out how a filter that fails to take into account the heavy-tailed character of the noise performs poorly and then examine how an α-stable based particle filter can be… (More)

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