Filters for reconstruction of higher order moments

TitleFilters for reconstruction of higher order moments
Publication TypeConference Paper
Year of Publication1997
AuthorsKrishnamurthy, V., and J. Evans
Conference NameDigital Signal Processing Proceedings, 1997. DSP 97., 1997 13th International Conference on
Pagination153 -156 vol.1
Date Publishedjul.
Keywordsautoregressive processes, doubly stochastic AR models, filtering theory, finite dimensional filters, Gaussian processes, higher order moments reconstruction, higher order statistics, Kalman filter, Kalman filters, linear Gaussian process, linear Gaussian systems, linear systems, nonlinear function, parameter estimation, random AR parameter, recursive algorithm, recursive filters, signal reconstruction
Abstract

We derive finite dimensional filters for the running sums of higher order moments of linear Gaussian systems. We also give filters for doubly stochastic AR models where the random AR parameter varies as a nonlinear function of a linear Gaussian process

URLhttp://dx.doi.org/10.1109/ICDSP.1997.628000
DOI10.1109/ICDSP.1997.628000

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