Recursive Noise Adaptive Kalman Filtering by Variational Bayesian Approximations

@article{Srkk2009RecursiveNA,
  title={Recursive Noise Adaptive Kalman Filtering by Variational Bayesian Approximations},
  author={S. S{\"a}rkk{\"a} and A. Nummenmaa},
  journal={IEEE Transactions on Automatic Control},
  year={2009},
  volume={54},
  pages={596-600}
}
This article considers the application of variational Bayesian methods to joint recursive estimation of the dynamic state and the time-varying measurement noise parameters in linear state space models. The proposed adaptive Kalman filtering method is based on forming a separable variational approximation to the joint posterior distribution of states and noise parameters on each time step separately. The result is a recursive algorithm, where on each step the state is estimated with Kalman… Expand
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