IEEE - Institute of Electrical and Electronics Engineers, Inc. - Robust Autoregression: Student-t Innovations Using Variational Bayes

Author(s): Jacqueline Christmas ; Richard Everson
Sponsor(s): IEEE Signal Processing Society
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 January 2011
Volume: 59
Page Count: 10
Page(s): 48 - 57
ISSN (Paper): 1053-587X
ISSN (Online): 1941-0476
DOI: 10.1109/TSP.2010.2080271
Regular:

Autoregression (AR) is a tool commonly used to understand and predict time series data. Traditionally the excitation noise is modelled as a Gaussian. However, real-world data may not be Gaussian... View More

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