{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,10,22]],"date-time":"2024-10-22T19:51:11Z","timestamp":1729626671042,"version":"3.28.0"},"reference-count":30,"publisher":"IEEE","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2016,3]]},"DOI":"10.1109\/icassp.2016.7472945","type":"proceedings-article","created":{"date-parts":[[2016,6,24]],"date-time":"2016-06-24T01:58:30Z","timestamp":1466733510000},"page":"6580-6584","source":"Crossref","is-referenced-by-count":1,"title":["Sequential Monte Carlo sampling for correlated latent long-memory time-series"],"prefix":"10.1109","author":[{"given":"Inigo","family":"Urteaga","sequence":"first","affiliation":[]},{"given":"Monica F.","family":"Bugallo","sequence":"additional","affiliation":[]},{"given":"Petar M.","family":"Djuric","sequence":"additional","affiliation":[]}],"member":"263","reference":[{"key":"ref30","doi-asserted-by":"crossref","DOI":"10.1093\/oso\/9780199257195.001.0001","author":"shephard","year":"2005","journal-title":"Stochastic Volatility Selected Readings Advanced texts in econometrics"},{"key":"ref10","doi-asserted-by":"publisher","DOI":"10.1109\/ICASSP.2015.7178656"},{"key":"ref11","doi-asserted-by":"crossref","first-page":"422","DOI":"10.1137\/1010093","article-title":"Fractional Brownian Motions, Fractional Noises and Applications","volume":"10","author":"mandelbrot","year":"1968","journal-title":"SIAM Review"},{"journal-title":"Statistics for Long-Memory Processes Chapman & Hall\/CRC Monographs on Statistics & Applied Probability","year":"1994","author":"beran","key":"ref12"},{"key":"ref13","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(95)01732-1"},{"key":"ref14","doi-asserted-by":"publisher","DOI":"10.1109\/CIFER.2003.1196276"},{"key":"ref15","doi-asserted-by":"publisher","DOI":"10.1007\/s007800300101"},{"key":"ref16","doi-asserted-by":"publisher","DOI":"10.1007\/1-84628-048-6_11"},{"key":"ref17","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4757-3437-9"},{"key":"ref18","first-page":"271","author":"djuri?","year":"2010","journal-title":"Particle Filtering"},{"key":"ref19","doi-asserted-by":"publisher","DOI":"10.1109\/MSP.2003.1236770"},{"key":"ref28","article-title":"Fundamentals of Statistical Signal Processing: Estimation theory","volume":"1","author":"kay","year":"1993","journal-title":"Fundamentals of Statistical Signal Processing"},{"key":"ref4","article-title":"Bayesian Methods in Finance","author":"rachev","year":"2008","journal-title":"Series"},{"key":"ref27","article-title":"Monte Carlo Strategies in Scientific Computing","author":"liu","year":"2001","journal-title":"Springer series in statistics"},{"key":"ref3","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.404400"},{"journal-title":"Multifractal Volatility Theory Forecasting and Pricing","year":"2008","author":"calvet","key":"ref6"},{"key":"ref29","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177700279"},{"key":"ref5","first-page":"8712","article-title":"Replication and optimization of hedge fund risk factor exposures","author":"johnston","year":"2013","journal-title":"IEEE International Conference on Acoustics Speech and Signal Processing (ICASSP)"},{"key":"ref8","doi-asserted-by":"publisher","DOI":"10.3150\/10-BEJ259"},{"journal-title":"Stochastic Modeling with Temporally Dependent Gaussian Processes Applications to Financial Engineering Pricing and Risk Management","year":"2012","author":"scansaroli","key":"ref7"},{"journal-title":"Time Series Analysis and Its Applications With R Examples (Springer Texts in Statistics)","year":"2010","author":"shumway","key":"ref2"},{"key":"ref9","doi-asserted-by":"publisher","DOI":"10.1109\/TSP.2011.2162835"},{"key":"ref1","article-title":"Time Series Analysis by State-Space Methods","author":"durbin","year":"2001","journal-title":"Oxford Statistical Science Series"},{"key":"ref20","doi-asserted-by":"publisher","DOI":"10.1109\/EUSIPCO.2015.7362583"},{"key":"ref22","doi-asserted-by":"publisher","DOI":"10.1115\/1.3662552"},{"key":"ref21","doi-asserted-by":"publisher","DOI":"10.1002\/9780470131466"},{"journal-title":"Bayesian Theory","year":"2009","author":"bernardo","key":"ref24"},{"key":"ref23","doi-asserted-by":"publisher","DOI":"10.1049\/ip-f-2.1993.0015"},{"key":"ref26","doi-asserted-by":"publisher","DOI":"10.1109\/18.761330"},{"key":"ref25","doi-asserted-by":"publisher","DOI":"10.1142\/S0218348X95000692"}],"event":{"name":"2016 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)","start":{"date-parts":[[2016,3,20]]},"location":"Shanghai","end":{"date-parts":[[2016,3,25]]}},"container-title":["2016 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)"],"original-title":[],"link":[{"URL":"http:\/\/xplorestaging.ieee.org\/ielx7\/7465907\/7471614\/07472945.pdf?arnumber=7472945","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,6,17]],"date-time":"2024-06-17T21:25:34Z","timestamp":1718659534000},"score":1,"resource":{"primary":{"URL":"http:\/\/ieeexplore.ieee.org\/document\/7472945\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2016,3]]},"references-count":30,"URL":"https:\/\/doi.org\/10.1109\/icassp.2016.7472945","relation":{},"subject":[],"published":{"date-parts":[[2016,3]]}}}