Sampling and Parameter Estimation for a Second Order Linear System with a Fractional Brownian Motion.
Tyrone E. DuncanBozenna Pasik-DuncanPublished in: CDC/ECC (2005)
Keyphrases
- parameter estimation
- fractional brownian motion
- random fields
- markov chain monte carlo
- maximum likelihood
- model selection
- non stationary
- markov random field
- long range
- least squares
- long range dependence
- higher order
- posterior distribution
- approximate inference
- parameter estimation algorithm
- fractal dimension
- sample size
- em algorithm
- expectation maximization
- financial markets
- model fitting
- closed form
- bayesian networks
- network traffic
- linear models