Skew-$t$ Filter and Smoother With Improved Covariance Matrix Approximation
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چکیده
منابع مشابه
Skew-t Filter and Smoother with Improved Covariance Matrix Approximation
Filtering and smoothing algorithms for linear discrete-time state-space models with skew-t-distributed measurement noise are presented. The presented algorithms use a variational Bayes based posterior approximation with coupled location and skewness variables to reduce the error caused by the variational approximation. Although the variational update is done suboptimally, our simulations show t...
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Filtering and smoothing algorithms for linear discrete-time state-space models with skew-t distributed measurement noise are presented. The proposed algorithms improve upon our earlier proposed filter and smoother using the mean field variational Bayes approximation of the posterior distribution to a skew-t likelihood and normal prior. Our simulations show that the proposed variational Bayes ap...
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ژورنال
عنوان ژورنال: IEEE Transactions on Signal Processing
سال: 2018
ISSN: 1053-587X,1941-0476
DOI: 10.1109/tsp.2018.2865434