An introduction to Gaussian processes for the Kalman filter expert

An introduction to Gaussian processes for the Kalman filter expert

We examine the close relationship between Gaussian processes and the Kalman filter and show how Gaussian processes can be interpreted using familiar Kalman filter mathematical concepts. We use this insight to develop a novel hybrid filter, which we call the KFGP, for spatial-temporal modelling. The...

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Bibliographic Details
Main Authors:	Reece, S, Roberts, S
Format:	Journal article
Language:	English
Published:	2010

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