On-line Bayesian Estimation of AR Signals in Symmetric α-Stable Noise

@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}
}
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

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