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A new Kalman filter approach for the estimation of high-dimensional time-variant multivariate AR models and its application in analysis of laser-evoked brain potentials

Thomas Milde, Lutz Leistritz, Laura Astolfi, Wolfgang H. R. Miltner, Thomas Weiss, Fabio Babiloni, Herbert Witte. A new Kalman filter approach for the estimation of high-dimensional time-variant multivariate AR models and its application in analysis of laser-evoked brain potentials. NeuroImage, 50(3):960-969, 2010. [doi]

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