Bayesian Filtering and Smoothing

DOI10.1017/9781108917407MaRDI QIDQ5887504zbMATH OpenOpenAlexFDO

Authors Simo Särkkä, Lennart Svensson

Publication date 12 April 2023

Full work available at URL https://doi.org/10.1017/9781108917407

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Bayesian inference (62F15) Filtering in stochastic control theory (93E11)

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Cited in

(34)

• Bayesian estimation and the Kalman filter
• Bayesian filtering and smoothing
• Bayesian estimation and tracking. A practical guide
• Variational Bayesian Filtering
• Bayesian inference of state space models. Kalman filtering and beyond
• Approximate Bayesian Computation for Smoothing
• Estimation of the cell membrane permeability for gas transport from surface pH measurements
• Bayesian Filtering and Smoothing, 2nd ed.Simo Särkkä and Lennart Svensson, Cambridge, UK, Cambridge University Press, 2023, xxx + 406 pp., $44.99(P), ISBN 978-1-108-92664-5.
• Nonlinear Filtering
• Sampling free iterative PCE filter for state and parameter estimation of nonlinear dynamical systems
• DynGMA: a robust approach for learning stochastic differential equations from data
• Maximum likelihood recursive state estimation: an incomplete-information based approach
• Hybrid modeling design patterns
• Stochastic mean-reverting trend (SMART) model in quantitative finance
• Principles of nonlinear filtering theory
• Parameter inference from a non-stationary unknown process
• Bayesian selection policies for human-in-the-loop anomaly detectors with applications in test security
• Low-dimensional subspace regularization through structured tensor priors
• Data assimilation: from mathematical and statistical foundations to applications. Abstracts from the workshop held February 23--28, 2025
• Filtering via approximate Bayesian computation
• A theory of generalized coordinates for stochastic differential equations
• Nudging state-space models for Bayesian filtering under misspecified dynamics
• Ensemble Kalman methods: a mean-field perspective
• Auxiliary MCMC samplers for parallelisable inference in high-dimensional latent dynamical systems
• Parallel square-root statistical linear regression for inference in nonlinear state space models
• A state-space perspective on modelling and inference for online skill rating
• Leveraging probabilistic optimal control for efficient trajectory optimization
• An adaptive online smoother with closed-form solutions and information-theoretic lag selection for conditional Gaussian nonlinear systems
• Bayesian surrogate training on multiple data sources: a hybrid modeling strategy
• Particle filtering for nondeterministic electrocardiographic imaging
• Amortized Bayesian mixture models
• Sequential Bayesian parameter-state estimation in dynamical systems with noisy and incomplete observations via a variational framework
• The ARR2 prior: flexible predictive prior definition for Bayesian auto-regressions
• Modelling pathwise uncertainty of stochastic differential equations samplers via probabilistic numerics

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