Towards Bayesian filtering on restricted support
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F06%3A00041786" target="_blank" >RIV/67985556:_____/06:00041786 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Towards Bayesian filtering on restricted support
Original language description
Linear state-space model with uniformly distributed innovations is considered. Its state and parameters are estimated under hard physical bounds. Off-line maximum a posteriori probability estimation reduces to linear programming. No approximation is required for sole estimation of either model parameters or states. The noise bounds are estimated in both cases. The algorithm is extended to: (i) on-line mode by estimating within a sliding window, and (ii) joint state and parameter estimation. This approach may be used as a starting point for full Bayesian treatment of distributions with restricted support.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BC - Theory and management systems
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2006
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the NSSPW'06 Workshop
ISBN
978-1-4244-0579-4
ISSN
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e-ISSN
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Number of pages
4
Pages from-to
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Publisher name
University of Cambridge
Place of publication
Cambridge
Event location
Cambridge
Event date
Sep 13, 2006
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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