On the estimation of hyperparameters for Bayesian system identification with exponentially decaying kernels

Abstract

A Bayesian formulation of system identification problems has become popular recently; this is mainly due to the introduction of a family of prior descriptions (kernels) which encode structural properties of dynamical systems such as stability. The simplest instance of this kernel prescribes that the impulse response coefficients are independent random… (More)
DOI: 10.1109/CDC.2012.6426236

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