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State Distributions and Minimum Relative Entropy Noise Sequences in Uncertain Stochastic Systems: The Discrete-Time Case.
Igor G. Vladimirov
Ian R. Petersen
Published in:
SIAM J. Control. Optim. (2015)
Keyphrases
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relative entropy
stochastic systems
log likelihood
stochastic models
hidden markov models
probability distribution
state space
missing data
information theoretic
confidence intervals
kullback leibler divergence
feature selection
monte carlo
mahalanobis distance
bregman divergences