Mixtures of skewed Kalman filters
نویسندگان
چکیده
منابع مشابه
Mixtures of skewed Kalman filters
Normal state-space models are prevalent, but to increase the applicability of the Kalman filter, we propose mixtures of skewed, and extended skewed, Kalman filters. To do so, the closed skew-normal distribution is extended to a scalemixture class of closed skew-normal distributions. Some basic properties are derived and a class of closed skew-t distributions is obtained. Our suggested family of...
متن کاملKalman Filters
The Kalman Filter is a statistical method that involves an algorithm which provides an efficient recursive approach to estimatating the states of a process by minimizing the mean of the squared error. The filter is a powerful tool in statistical signal processing that allows for acurate estimations of past, present and future states, even with an incomplete or imprecise system model.
متن کاملCertifying Kalman Filters
Formal code certification is a rigorous approach to demonstrate software quality. Its basicidea is to require that code producers provide formal certificates, or proofs, that their codesatisfies certain quality properties. In this paper, we focus on certifying software developed forstate estimation of dynamic systems, which is an important problem found in spacecraft, aircraft,g...
متن کاملSwitching Kalman Filters
We show how many di erent variants of Switching Kalman Filter models can be represented in a uni ed way, leading to a single, general-purpose inference algorithm. We then show how to nd approximate Maximum Likelihood Estimates of the parameters using the EM algorithm, extending previous results on learning using EM in the non-switching case [DRO93, GH96a] and in the switching, but fully observe...
متن کاملMorphing Ensemble Kalman Filters
A new type of ensemble filter is proposed, which combines an ensemble Kalman filter (EnKF) with the ideas of morphing and registration from image processing. This results in filters suitable for nonlinear problems whose solutions exhibit moving coherent features, such as thin interfaces in wildfire modeling. The ensemble members are represented as the composition of one common state with a spat...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2014
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2013.09.002