The generalized cross validation filter

DOI10.1016/j.automatica.2017.12.054zbMath1387.93159arXiv1706.02495OpenAlexW2964196329MaRDI QIDQ1640724

Giulio Bottegal, Gianluigi Pillonetto

Publication date: 14 June 2018

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.02495

zbMATH Keywords

splinesregularizationinverse problemsKalman filteringsmoothness parametergeneralized cross-validationonline system identification

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Identification in stochastic control theory (93E12)

Related Items (2)

Closed-form expressions and nonparametric estimation of COVID-19 infection rate ⋮ An efficient implementation for spatial-temporal Gaussian process regression and its applications

Uses Software

• ElemStatLearn

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Regularized linear system identification using atomic, nuclear and kernel-based norms: the role of the stability constraint
• Kernel methods in system identification, machine learning and function estimation: a survey
• Prediction error identification of linear systems: a nonparametric Gaussian regression approach
• Input estimation in nonlinear dynamical systems using differential algebra techniques
• Tuning complexity in regularized kernel-based regression and linear system identification: the robustness of the marginal likelihood estimator
• Fast computation of smoothing splines subject to equality constraints
• Bayesian system identification via Markov chain Monte Carlo techniques
• A new kernel-based approach for linear system identification
• A comparison of GCV and GML for choosing the smoothing parameter in the generalized spline smoothing problem
• A unified approach to smoothing formulas
• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
• Regularization networks and support vector machines
• On the estimation of transfer functions, regularizations and Gaussian processes-revisited
• Stochastic processes and filtering theory
• Fast Compact Algorithms and Software for Spline Smoothing
• Regularization Algorithms for Learning That Are Equivalent to Multilayer Networks
• Efficient generalized cross-validation for state space models
• A fast algorithm for signal extraction, influence and cross-validation in state space models
• Generalized Cross-Validation as a Method for Choosing a Good Ridge Parameter
• Detectability and Stabilizability of Time-Varying Discrete-Time Linear Systems
• Particle Markov Chain Monte Carlo Methods
• Inverse Problem Theory and Methods for Model Parameter Estimation
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Smoothing noisy data with spline functions
• Fast spline smoothing via spectral factorization concepts
• The elements of statistical learning. Data mining, inference, and prediction

This page was built for publication: The generalized cross validation filter