Context dependent ARMA modeling
A. Shmilovici; I. Ben-Gal;
Context dependent ARMA modeling
We propose to extend the use of Risannen's (1983) "tree source"-a relative of the partial hidden Markov model-to continuous signals. While the original algorithm is dedicated to modeling the context in which each symbol can occur in a discrete symbol space, we propose to match a specific ARMA model with each identified context. An example is presented.
- Ben-Gurion University of the Negev Israel
- Tel Aviv University Israel
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