Approximate Gaussian variance inference for state-space models

DOI10.1002/ACS.3667MaRDI QIDQ6493591

James-A. Goulet, Bhargob Deka

Publication date: 29 April 2024

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

zbMATH Keywords

state-space modelsBayesian inferenceonline parameter estimationGaussian multiplicative approximationclosed-form inferenceprocess error covariance matrix

Mathematics Subject Classification ID

Systems theory; control (93-XX)

Cites Work

• State and parameter estimation of state-space model with entry-wise correlated uniform noise
• 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

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