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We consider the filtering problem in linear state space models with heavy tailed process and measurement noise. Our work is based on Student's t distribution, for which we give a number of useful results. The derived filtering algorithm is a generalization of the ubiquitous Kalman filter, and reduces to it as special case. Both Kalman filter and the new(More)
In this paper, we propose using Gaussian processes to track an extended object or group of objects, that generates multiple measurements at each scan. The shape and the kinematics of the object are simultaneously estimated, and the shape is learned online via a Gaussian process. The proposed algorithm is capable of tracking different objects with different(More)
In this paper, we propose a new approach for dynamic speech spectrum representation and tracking vocal tract resonance (VTR) frequencies. The method involves representing the spectral density of the speech signals as a mixture of Gaussians with unknown number of components for which time-varying Dirichlet process mixture model (DPM) is utilized. In the(More)
The particle filter provides a general solution to the nonlinear filtering problem with arbitrarily accuracy. However, the curse of dimensionality prevents its application in cases where the state dimensionality is high. Further, estimation of stationary parameters is a known challenge in a particle filter framework. We suggest a marginalization approach(More)
The commercial interest in proximity services is increasing. Application examples include location-based information and advertisements, logistics, social networking, file sharing, etc. In this paper, we consider positioning of devices based on time series proximity reports from a mobile device to a network node. This corresponds to nonlinear measurements(More)
In this paper, we explore the potential of networked microphone arrays for multiple target tracking. Tracking is accomplished by using the direction-of-arrival (DOA) estimates of multiple microphone arrays. Each microphone array obtains the DOA estimates by using the wideband extensions of the multiple signal classification (MUSIC) technique. Based on these(More)
Knowledge of the noise distribution is typically crucial for the state estimation of general state-space models. However, properties of the noise process are often unknown in the majority of practical applications. The distribution of the noise may also be non-stationary or state dependent and that prevents the use of off-line tuning methods. For linear(More)
We present an online method for joint state and parameter estimation in jump Markov non-linear systems (JMNLS). State inference is enabled via the use of particle filters which makes the method applicable to a wide range of non-linear models. To exploit the inherent structure of JMNLS, we design a Rao-Blackwellized particle filter (RBPF) where the discrete(More)
©2015 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE. ABSTRACT Cramér-Rao(More)
We present an adaptive smoother for linear state-space models with unknown process and measurement noise covariances. The proposed method utilizes the variational Bayes technique to perform approximate inference. The resulting smoother is computationally efficient, easy to implement, and can be applied to high dimensional linear systems. The performance of(More)