Modeling non-Gaussian time-varying vector autoregressive processes by particle filtering

Authors:
Deniz Gençağa;Ercan E. Kuruoğlu;Ayşın Ertüzün
Affiliations:
National Oceanic and Atmospheric Administration and Cooperative Remote Sensing Science and Technology Center (NOAA CREST), The City College of the City University of New York, New York, USA 10031;ISTI, Area Della Ricerca CNR di Pisa, Pisa, Italy 56124;Electrical and Electronic Engineering Department, Boğaziçi University, İstanbul, Turkey 34342
Venue:
Multidimensional Systems and Signal Processing
Year:
2010

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Abstract

We present a novel and general methodology for modeling time-varying vector autoregressive processes which are widely used in many areas such as modeling of chemical processes, mobile communication channels and biomedical signals. In the literature, most work utilize multivariate Gaussian models for the mentioned applications, mainly due to the lack of efficient analytical tools for modeling with non-Gaussian distributions. In this paper, we propose a particle filtering approach which can model non-Gaussian autoregressive processes having cross-correlations among them. Moreover, time-varying parameters of the process can be modeled as the most general case by using this sequential Bayesian estimation method. Simulation results justify the performance of the proposed technique, which potentially can model also Gaussian processes as a sub-case.