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Current Trends in Signal Processing

The Estimation of Time-varying Parameters – A Malliavin Calculus Approach

  1. Abutaleb .

Abstract

The Malliavin derivative of the Malliavin calculus is used to estimate the time-varying amplitudes that appear in the sum of signals or time-varying regression models. A closed form solution is obtained for the estimates of the time-varying amplitudes. The duality principle of the Malliavin calculus is then used to find a numerically tractable expression for the estimates. Given are examples and comparisons to existing methods.
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