Bayesian Estimation of Forgetting Factor in Adaptive Filtering and Change Detection
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F12%3A00379258" target="_blank" >RIV/67985556:_____/12:00379258 - isvavai.cz</a>
Result on the web
<a href="http://library.utia.cas.cz/separaty/2012/AS/Smidl-bayesian" target="_blank" >http://library.utia.cas.cz/separaty/2012/AS/Smidl-bayesian</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Bayesian Estimation of Forgetting Factor in Adaptive Filtering and Change Detection
Original language description
An adaptive filter is derived in a Bayesian framework from the assumption that the difference in the parameter distribution from one time to another is bounded in terms of the Kullback-Leibler divergence. We show an explicit link to the general conceptsof exponential forgetting, and outline the details for a linear Gaussian model with unknown parameter and covariance. We extend the problem to an unknown forgetting factor, where we provide a particular prior that allows for abrupt changes in forgetting,which is useful in change detection problems. The Rao-Blackwellized particle filter is used for the implementation, and its performance is assessed in a simulation of system with abrupt changes of parameters.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BD - Information theory
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GAP102%2F11%2F0437" target="_blank" >GAP102/11/0437: Control and Parameter Identification of AC Electric Drives under Critical Operating Conditions</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2012
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 IEEE Statistical Signal Processing Workshop 2012
ISBN
978-1-4673-0182-4
ISSN
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e-ISSN
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Number of pages
4
Pages from-to
197-200
Publisher name
IEEE
Place of publication
Ann Arbor
Event location
Ann Arbor
Event date
Aug 5, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000309943200050