Latent variable time-series models are among the most heavily used tools from machine learning and applied statistics. These models have the advantage of learning latent structure both from noisy observations and from the temporal ordering in the data, where it is assumed that meaningful correlation structure exists across time. A few highly-structured models, such as the linear dynamical syste...

Batch maximum likelihood (ML) and maximum a posteriori (MAP) estimation with process noise is now more than thirty-five years old, and its use in multiple target tracking has long been considered to be too computationally intensive for real-time applications. While this may still be true for general usage, it is ideally suited for special needs such as bias estimation, track initiation and spaw...

We introduce a new method for approximate inference in Hybrid Dynamical Graphical models, in particular, for switching dynamical networks. For the important special case of switching linear Gaussian state space models (switching Kalman Filters), our method is a novel form of Gaussian sum smoother, consisting of a single forward and backward pass. Our method is particularly well suited to switch...

In order to reduce the estimated errors of the inertial navigation system (INS)/Wireless sensor network (WSN)-integrated navigation for mobile robots indoors, this work proposes an on-line iterated extended Rauch-Tung-Striebel smoothing (IERTSS) utilizing inertial measuring units (IMUs) and an ultrasonic positioning system. In this mode, an iterated Extended Kalman filter (IEKF) is used in forw...

The number of source signals in a noisy convolutive mixture is determined based on the exact log-likelihoods of the candidate models. In (Olsson and Hansen, 2004), a novel probabilistic blind source separator was introduced that is based solely on the time-varying second-order statistics of the sources. The algorithm, known as ‘KaBSS’, employs a Gaussian linear model for the mixture, i.e. AR mo...

The problem of joint oscillator phase noise (PHN) estimation and data detection for multi-input multi-output (MIMO) systems using bit-interleaved-coded modulation is analysed. A new MIMO receiver that iterates between the estimator and the detector, based on the expectation-maximisation (EM) framework, is proposed. It is shown that at high signal-to-noise ratios, a maximum a posteriori (MAP) es...

We discuss an identification framework for noisy speech mixtures. A block-based generative model is formulated that explicitly incorporates the time-varying harmonic plus noise (H+N) model for a number of latent sources observed through noisy convolutive mixtures. All parameters including the pitches of the source signals, the amplitudes and phases of the sources, the mixing filters and the noi...

In this article we introduce the DRIFTER algorithm, which is a new model based Bayesian method for retrospective elimination of physiological noise from functional magnetic resonance imaging (fMRI) data. In the method, we first estimate the frequency trajectories of the physiological signals with the interacting multiple models (IMM) filter algorithm. The frequency trajectories can be estimated...

We present a fixed-lag ensemble Kalman smoother for estimating emissions for a global aerosol transport model from remote sensing observations. We assimilate AERONET AOT and AE as well as MODIS Terra AOT over ocean to estimate the emissions for dust, sea salt and carbon aerosol and the precursor gas SO2. For January 2009, globally dust emission decreases by 26% (to 3,244 Tg/yr), sea salt emissi...

In this paper Bayesian methods are applied to a stochastic volatility model using both the prices of the asset and the prices of options written on the asset. Posterior densities for all model parameters, latent volatilities and the market price of volatility risk are produced via a hybrid Markov Chain Monte Carlo sampling algorithm. Candidate draws for the unobserved volatilities are obtained ...