Modeling non-Gaussian time-varying vector autoregressive processes by particle filtering

Deniz Gençaga, Ercan E. Kuruoglu, Aysin Ertüzün. Modeling non-Gaussian time-varying vector autoregressive processes by particle filtering. Multidim. Syst. Sign. Process., 21(1):73, 2010. [doi]

Abstract

Abstract is missing.