Recursive Estimation of State-Space Noise Covariance Matrix by Approximate Variational Bayes.
Joseph De VilmarestOlivier WintenbergerPublished in: CoRR (2021)
Keyphrases
- covariance matrix
- variational bayes
- state space
- covariance matrices
- hyperparameters
- gaussian mixture model
- noise level
- sample size
- latent variables
- bayesian inference
- bayesian learning
- principal component analysis
- free energy
- posterior distribution
- latent dirichlet allocation
- particle filter
- missing data
- exponential family
- reinforcement learning
- log likelihood
- model selection
- objective function
- noise reduction
- signal to noise ratio
- topic models
- median filter
- probabilistic model
- dynamic programming
- gaussian process
- evolutionary algorithm
- search space
- computer vision