Stochastic unobserved component models for adaptive signal extraction and forecasting

Young, Peter C. and Tych, Wlodek and Pedregal, Diego J. (1998) Stochastic unobserved component models for adaptive signal extraction and forecasting. In: Proceedings of the 1998 8th IEEE Workshop on Neural Networks for Signal Processing VIII, 1998-08-311998-09-02.

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Abstract

The adaptive, off-line signal processing and forecasting of nonstationary signals described by an unobserved component (UC) model is presented. The off-line signal processing based on a dynamic harmonic regression (DHR) model of the UC type and its performance via a typical problem of audio signal restoration are discussed. The simplest possible method of detecting outliers is used but more sophisticated approaches based on either their statistical properties of the KF innovations or the difference between the KF and FIS estimates are possible.

Item Type:
Contribution to Conference (Paper)
Journal or Publication Title:
Proceedings of the 1998 8th IEEE Workshop on Neural Networks for Signal Processing VIII
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2200/2208
Subjects:
ID Code:
177780
Deposited By:
Deposited On:
25 Oct 2022 13:23
Refereed?:
Yes
Published?:
Published
Last Modified:
22 Nov 2022 14:55