{"id":"https://openalex.org/W2407762023","doi":"https://doi.org/10.1109/icassp.2016.7472945","title":"Sequential Monte Carlo sampling for correlated latent long-memory time-series","display_name":"Sequential Monte Carlo sampling for correlated latent long-memory time-series","publication_year":2016,"publication_date":"2016-03-01","ids":{"openalex":"https://openalex.org/W2407762023","doi":"https://doi.org/10.1109/icassp.2016.7472945","mag":"2407762023"},"language":"en","primary_location":{"id":"doi:10.1109/icassp.2016.7472945","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icassp.2016.7472945","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2016 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5040717332","display_name":"I\u00f1igo Urteaga","orcid":"https://orcid.org/0000-0003-3656-0037"},"institutions":[{"id":"https://openalex.org/I59553526","display_name":"Stony Brook University","ror":"https://ror.org/05qghxh33","country_code":"US","type":"education","lineage":["https://openalex.org/I59553526"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Inigo Urteaga","raw_affiliation_strings":["Department of Electrical & Computer Engineering, Stony Brook University, Stony Brook, NY, USA"],"affiliations":[{"raw_affiliation_string":"Department of Electrical & Computer Engineering, Stony Brook University, Stony Brook, NY, USA","institution_ids":["https://openalex.org/I59553526"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5058778434","display_name":"M\u00f3nica F. Bugallo","orcid":"https://orcid.org/0000-0003-2963-1474"},"institutions":[{"id":"https://openalex.org/I59553526","display_name":"Stony Brook University","ror":"https://ror.org/05qghxh33","country_code":"US","type":"education","lineage":["https://openalex.org/I59553526"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Monica F. Bugallo","raw_affiliation_strings":["Department of Electrical & Computer Engineering, Stony Brook University, Stony Brook, NY, USA"],"affiliations":[{"raw_affiliation_string":"Department of Electrical & Computer Engineering, Stony Brook University, Stony Brook, NY, USA","institution_ids":["https://openalex.org/I59553526"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5006962534","display_name":"Petar M. Djuri\u0107","orcid":"https://orcid.org/0000-0001-7791-3199"},"institutions":[{"id":"https://openalex.org/I59553526","display_name":"Stony Brook University","ror":"https://ror.org/05qghxh33","country_code":"US","type":"education","lineage":["https://openalex.org/I59553526"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Petar M. Djuric","raw_affiliation_strings":["Department of Electrical & Computer Engineering, Stony Brook University, Stony Brook, NY, USA"],"affiliations":[{"raw_affiliation_string":"Department of Electrical & Computer Engineering, Stony Brook University, Stony Brook, NY, USA","institution_ids":["https://openalex.org/I59553526"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5040717332"],"corresponding_institution_ids":["https://openalex.org/I59553526"],"apc_list":null,"apc_paid":null,"fwci":0.4506,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.71002579,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"10","issue":null,"first_page":"6580","last_page":"6584"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.998199999332428,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.998199999332428,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9977999925613403,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12205","display_name":"Time Series Analysis and Forecasting","score":0.9710999727249146,"subfield":{"id":"https://openalex.org/subfields/1711","display_name":"Signal Processing"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.6079659461975098},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.6015697717666626},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5343208909034729},{"id":"https://openalex.org/keywords/particle-filter","display_name":"Particle filter","score":0.4988124370574951},{"id":"https://openalex.org/keywords/inference","display_name":"Inference","score":0.48585793375968933},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.47088131308555603},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.45317181944847107},{"id":"https://openalex.org/keywords/gaussian","display_name":"Gaussian","score":0.4310314357280731},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.4163423776626587},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.39347583055496216},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3436572551727295},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.294910192489624},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.2860751748085022},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.2641529440879822},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.18292716145515442},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.08053472638130188},{"id":"https://openalex.org/keywords/kalman-filter","display_name":"Kalman filter","score":0.07056063413619995}],"concepts":[{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6079659461975098},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.6015697717666626},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5343208909034729},{"id":"https://openalex.org/C52421305","wikidata":"https://www.wikidata.org/wiki/Q1151499","display_name":"Particle filter","level":3,"score":0.4988124370574951},{"id":"https://openalex.org/C2776214188","wikidata":"https://www.wikidata.org/wiki/Q408386","display_name":"Inference","level":2,"score":0.48585793375968933},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.47088131308555603},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.45317181944847107},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.4310314357280731},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.4163423776626587},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.39347583055496216},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3436572551727295},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.294910192489624},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.2860751748085022},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.2641529440879822},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.18292716145515442},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.08053472638130188},{"id":"https://openalex.org/C157286648","wikidata":"https://www.wikidata.org/wiki/Q846780","display_name":"Kalman filter","level":2,"score":0.07056063413619995},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/icassp.2016.7472945","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icassp.2016.7472945","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2016 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth","score":0.4399999976158142}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":39,"referenced_works":["https://openalex.org/W56989866","https://openalex.org/W250076511","https://openalex.org/W357154381","https://openalex.org/W435829561","https://openalex.org/W1483307070","https://openalex.org/W1501690309","https://openalex.org/W1512184319","https://openalex.org/W1516946955","https://openalex.org/W1544274373","https://openalex.org/W1965392255","https://openalex.org/W1974673435","https://openalex.org/W1995666097","https://openalex.org/W2031753087","https://openalex.org/W2069739265","https://openalex.org/W2074223538","https://openalex.org/W2089657469","https://openalex.org/W2096210371","https://openalex.org/W2098613108","https://openalex.org/W2101298354","https://openalex.org/W2105934661","https://openalex.org/W2116140670","https://openalex.org/W2116807840","https://openalex.org/W2147269409","https://openalex.org/W2164214015","https://openalex.org/W2165773639","https://openalex.org/W2207677675","https://openalex.org/W2294875987","https://openalex.org/W2319085245","https://openalex.org/W2497534953","https://openalex.org/W2954440301","https://openalex.org/W3102362558","https://openalex.org/W3107394559","https://openalex.org/W3125096521","https://openalex.org/W4255133955","https://openalex.org/W4388063301","https://openalex.org/W6668080254","https://openalex.org/W6677243939","https://openalex.org/W6681975374","https://openalex.org/W6765341079"],"related_works":["https://openalex.org/W2015530857","https://openalex.org/W2556064263","https://openalex.org/W1991846142","https://openalex.org/W1583020711","https://openalex.org/W2055243143","https://openalex.org/W2393870460","https://openalex.org/W1521151968","https://openalex.org/W2128655648","https://openalex.org/W2900672867","https://openalex.org/W1690802106"],"abstract_inverted_index":{"In":[0],"this":[1],"paper,":[2],"we":[3],"consider":[4],"state-space":[5,83],"models":[6,52],"where":[7,70],"the":[8,30,67,79,82,93],"latent":[9,31,68],"processes":[10,17,36,69],"represent":[11],"correlated":[12],"mixtures":[13],"of":[14,29,48,66,81,92],"fractional":[15,34],"Gaussian":[16,21,35],"embedded":[18],"in":[19,53],"white":[20],"noises.":[22],"The":[23,33,85],"observed":[24],"data":[25],"are":[26,47,87],"nonlinear":[27],"functions":[28],"states.":[32],"have":[37],"interesting":[38],"properties":[39],"including":[40],"long-memory,":[41],"self-similarity":[42],"and":[43,45,55],"scale-invariance,":[44],"thus,":[46],"interest":[49],"for":[50,64],"building":[51],"finance":[54],"econometrics.":[56],"We":[57],"propose":[58],"sequential":[59],"Monte":[60],"Carlo":[61],"(SMC)":[62],"methods":[63,86],"inference":[65],"each":[71],"method":[72],"is":[73],"based":[74],"on":[75],"different":[76],"assumptions":[77],"about":[78],"parameters":[80],"model.":[84,97],"extensively":[88],"evaluated":[89],"via":[90],"simulations":[91],"popular":[94],"stochastic":[95],"volatility":[96]},"counts_by_year":[{"year":2017,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
