Approximate Recursive Identification of Autoregressive Systems with Skewed Innovations

We propose a novel recursive system identification algorithm for linear autoregressive systems with skewed innovations. The algorithm is based on the variational Bayes approximation of the model with a multivariate normal prior for the model coefficients, multivariate skew-normally distributed innov...

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Hauptverfasser:	Nurminen, Henri, Ardeshiri, Tohid
Format:	Artikel
Sprache:	eng
Schlagworte:	Computer Science - Systems and Control
Online-Zugang:	Volltext bestellen
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