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Sequential Monte Carlo for inference of latent ARMA time series with innovations correlated in time

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Figure

Fig. 1 γu(τ) for a fGp, as a function of the Hurst parameter
Fig. 2 True(black)andestimatedstate (red) for the proposed SMC method with known ARMA parameters and unknown σ 2u a AR(1), a1 = 0.85, H = 0.5.b AR(1), a1 = 0.85, H = 0.7
Table 1 MSE performance of the proposed SMC methods forARMA models (known a and b) with fGn, known and unknown σ 2u
Table 2 MSE performance of the proposed SMC methods for ARMA models (unknown a and b) with fGn, known and unknown σ 2u
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