Bayesian Nonparametric Inference of Switching Dynamic Linear Models
Many complex dynamical phenomena can be effectively modeled by a system that switches among a set of conditionally linear dynamical modes. We consider two such models: the switching linear dynamical system (SLDS) and the switching vector autoregressive (VAR) process. Our Bayesian nonparametric appro...
| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Institute of Electrical and Electronics Engineers (IEEE)
2013
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| Online Access: | http://hdl.handle.net/1721.1/80811 https://orcid.org/0000-0003-0149-5888 |