Estimation of a digitised Gaussian ARMA model by Monte Carlo Expectation Maximisation.
Hannah LennonJingsong YuanPublished in: Comput. Stat. Data Anal. (2019)
Keyphrases
- monte carlo
- expectation maximisation
- importance sampling
- monte carlo simulation
- maximum likelihood
- arma model
- em algorithm
- monte carlo tree search
- parameter estimation
- markov chain
- moving average
- monte carlo methods
- particle filter
- adaptive sampling
- matrix inversion
- density estimation
- gaussian noise
- artificial neural networks
- markovian decision
- short term
- graphical models
- wavelet transform