Approximate Gaussian variance inference for state-space models

DOI10.1002/ACS.3667MaRDI QIDQ6493591zbMATH OpenFDO

Authors Bhargob Deka, James-A. Goulet

Publication date 29 April 2024

Published in International Journal of Adaptive Control and Signal Processing (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1002/ACS.3667

zbMATH Keywords

Bayesian inferenceclosed-form inferenceGaussian multiplicative approximationonline parameter estimationprocess error covariance matrixstate-space models

Mathematics Subject Classification ID

Systems theory; control (93-XX)

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Cites work

• A multi-tone central divided difference frequency tracker with adaptive process noise covariance tuning
• Approaches to adaptive filtering
• Noise covariance estimation for Kalman filter tuning using Bayesian approach and Monte Carlo
• State and parameter estimation of state-space model with entry-wise correlated uniform noise

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