Hierarchical Bayesian ARX models for robust inference
نویسندگان
چکیده
منابع مشابه
Hierarchical Bayesian ARX models for robust inference
Gaussian innovations are the typical choice in most ARX models but using other distributions such as the Student’s t could be useful. We demonstrate that this choice of distribution for the innovations provides an increased robustness to data anomalies, such as outliers and missing observations. We consider these models in a Bayesian setting and perform inference using numerical procedures base...
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ژورنال
عنوان ژورنال: IFAC Proceedings Volumes
سال: 2012
ISSN: 1474-6670
DOI: 10.3182/20120711-3-be-2027.00318