TY - GEN
T1 - Estimation of ARMA state processes by particle filtering
AU - Urteaga, Litigo
AU - Djurić, Petar M.
PY - 2014
Y1 - 2014
N2 - There are many practical signal processing settings where a state-space model consists of a state described by an ARMA process that is observed via non-linear functions of the state. In this paper, we propose a particle filtering method for sequentially estimating the ARMA process in the presence of unknown parameters. In the considered problem, we have static and dynamic unknowns, and we show how to handle the static parameters so that the estimation of the state process does not degrade with time. We propose a new particle filter that approximates the posterior of all the unknowns by a Gaussian distribution, in combination with a Monte Carlo approach to the Rao-Blackwellization of the static parameters. We demonstrate the performance of the proposed method by extensive computer simulations.
AB - There are many practical signal processing settings where a state-space model consists of a state described by an ARMA process that is observed via non-linear functions of the state. In this paper, we propose a particle filtering method for sequentially estimating the ARMA process in the presence of unknown parameters. In the considered problem, we have static and dynamic unknowns, and we show how to handle the static parameters so that the estimation of the state process does not degrade with time. We propose a new particle filter that approximates the posterior of all the unknowns by a Gaussian distribution, in combination with a Monte Carlo approach to the Rao-Blackwellization of the static parameters. We demonstrate the performance of the proposed method by extensive computer simulations.
KW - ARMA processes
KW - particle filtering
KW - Rao-Blackwellization
KW - state-space estimation
UR - https://www.scopus.com/pages/publications/84905244972
U2 - 10.1109/ICASSP.2014.6855165
DO - 10.1109/ICASSP.2014.6855165
M3 - Conference contribution
AN - SCOPUS:84905244972
SN - 9781479928927
T3 - ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
SP - 8033
EP - 8037
BT - 2014 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2014
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2014 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2014
Y2 - 4 May 2014 through 9 May 2014
ER -