Nonparametric Bayesian Identification of Jump Systems with Sparse Dependencies ⋆

@inproceedings{Fox2009NonparametricBI,
  title={Nonparametric Bayesian Identification of Jump Systems with Sparse Dependencies ⋆},
  author={Emily B. Fox and Erik B. Sudderth and Michael I. Jordan and Alan S. Willsky},
  year={2009}
}
Many nonlinear dynamical phenomena can be effectively modeled by a system that switches among a set of conditionally linear dynamical modes. We consider two such Markov jump linear systems: the switching linear dynamical system (SLDS) and the switching vector autoregressive (S-VAR) process. In this paper, we present a nonparametric Bayesian approach to identifying an unknown number of persistent, smooth dynamical modes by utilizing a hierarchical Dirichlet process prior. We additionally employ… CONTINUE READING
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