## Fully Bayesian inference for α-stable distributions using a Poisson series representation

- Tatjana Lemke, Marina Riabiz, Simon J. Godsill
- Digital Signal Processing
- 2015

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4 Excerpts

@inproceedings{Lombardi2004OnlineBE, title={On-line Bayesian Estimation of AR Signals in Symmetric α-Stable Noise}, author={Marco J. Lombardi and Simon J. Godsill}, year={2004} }

- Published 2004

In this paper we propose an on-line Bayesian filtering and smoothing method for time series models with heavy-tailed α-stable noise, with a particular focus on TVAR models. α-stable processes have been shown in the past to be a good model for many naturally occurring noise sources, see e.g. [1, 2]. 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 devised to… CONTINUE READING