Bayesian inference for linear dynamic models with Dirichlet process mixtures
Using Kalman techniques, it is possible to perform optimal estimation in linear Gaussian state-space models. Here, we address the case where the noise probability density functions are of unknown functional form. A flexible Bayesian nonparametric noise model based on Dirichlet process mixtures is in...
| Main Authors: | , , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2008
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