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Modeling non-Gaussian time-varying vector autoregressive process

Metadata Updated: December 7, 2023

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.

Access & Use Information

Public: This dataset is intended for public access and use. License: No license information was provided. If this work was prepared by an officer or employee of the United States government as part of that person's official duties it is considered a U.S. Government Work.

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Dates

Metadata Created Date November 12, 2020
Metadata Updated Date December 7, 2023
Data Update Frequency irregular

Metadata Source

Harvested from NASA Data.json

Additional Metadata

Resource Type Dataset
Metadata Created Date November 12, 2020
Metadata Updated Date December 7, 2023
Publisher Dashlink
Maintainer
Identifier DASHLINK_206
Data First Published 2010-09-22
Data Last Modified 2020-01-29
Public Access Level public
Data Update Frequency irregular
Bureau Code 026:00
Metadata Context https://project-open-data.cio.gov/v1.1/schema/catalog.jsonld
Metadata Catalog ID https://data.nasa.gov/data.json
Schema Version https://project-open-data.cio.gov/v1.1/schema
Catalog Describedby https://project-open-data.cio.gov/v1.1/schema/catalog.json
Harvest Object Id 038d049d-874d-4072-8935-03aba9cfae59
Harvest Source Id 58f92550-7a01-4f00-b1b2-8dc953bd598f
Harvest Source Title NASA Data.json
Homepage URL https://c3.nasa.gov/dashlink/resources/206/
Program Code 026:029
Source Datajson Identifier True
Source Hash d1c888f0e37529c7ef69e7941474e624a853542de38d16b135f2e445fd94871e
Source Schema Version 1.1

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