@inproceedings{520d6eda53b14947b49ab807c27bab8c,
title = "Particle filtering of ARMA processes of unknown order and parameters",
abstract = "This paper considers inference on the widely used state-space models described by hidden ARMA state processes of unknown order observed via non-linear functions of the states. We propose a particle filtering method for sequentially inferring the unknown ARMA time-series by Rao-Blackwellization of all the static unknowns. Our method does not rely either on any assumption on the model order or on the static ARMA and state innovation parameters. Consequently, when the ARMA model order is unknown, it can be used without a follow-up model selection procedure. Extensive simulation results validate the proposed method across different ARMA models.",
keywords = "ARMA models, particle filtering, Rao-Blackwellization, State-space models, time-series",
author = "Inigo Urteaga and Djuric, \{Petar M.\}",
note = "Publisher Copyright: {\textcopyright} 2015 IEEE.; 40th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2015 ; Conference date: 19-04-2014 Through 24-04-2014",
year = "2015",
month = aug,
day = "4",
doi = "10.1109/ICASSP.2015.7178743",
language = "English",
series = "ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "4105--4109",
booktitle = "2015 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2015 - Proceedings",
}