• DocumentCode
    802684
  • Title

    Parameter estimation of time-varying autoregressive models using the Gibbs sampler

  • Author

    Rajan, J.J. ; Rayner, P.J.W.

  • Author_Institution
    Dept. of Eng., Cambridge Univ., UK
  • Volume
    31
  • Issue
    13
  • fYear
    1995
  • fDate
    6/22/1995 12:00:00 AM
  • Firstpage
    1035
  • Lastpage
    1036
  • Abstract
    A method is described for applying a Markov chain Monte Carlo method known as the Gibbs sampler to the problem of estimating the parameters of a flexible time-varying autoregressive (TVAR) model with time dependent coefficients that are stationary stochastic processes
  • Keywords
    Markov processes; Monte Carlo methods; autoregressive processes; parameter estimation; signal processing; time-varying systems; AR models; Gibbs sampler; Markov chain Monte Carlo method; parameter estimation; stationary stochastic processes; time dependent coefficients; time-varying autoregressive models;
  • fLanguage
    English
  • Journal_Title
    Electronics Letters
  • Publisher
    iet
  • ISSN
    0013-5194
  • Type

    jour

  • DOI
    10.1049/el:19950761
  • Filename
    392691
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=802684