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Sequential Inference for Non-Gaussian Additive Processes

In this paper, we introduce dynamical models based on Stochastic Differential Equations (SDE)s driven by additive processes. Additive processes are intuitively obtained as time-varying versions of Lévy processes, and we adopt this formalism to model properties that may change over time, for e...

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Principais autores: Zixin Liu, Simon Godsill
Format: Artigo
Sprog:Inglês
Udgivet: IEEE 2026-01-01
Serier:IEEE Open Journal of Signal Processing
Fag:
Non-Gaussian stochastic process
sequential Monte Carlo
particle filter
Lévy process
additive process
stochastic differential equation
Online adgang:https://ieeexplore.ieee.org/document/11314923/
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