Bibliography
Journal Article
Autoregressive Model with Partial Forgetting within Rao-Blackwellized Particle Filter
,
: Communications in Statistics - Simulation and Computation vol.41, 5 (2012), p. 582-589
: CEZ:AV0Z10750506
: VG20102013018, GA MV, GA102/08/0567, GA ČR, SGS 10/099/OHK3/1T/16, ČVUT
: Bayesian methods, Particle filters, Recursive estimation
: 10.1080/03610918.2011.598992
(eng): The authors are concerned with Bayesian identification and prediction of a nonlinear discrete stochastic process. The fact that a nonlinear process can be approximated by a piecewise linear function advocates the use of adaptive linear models. They propose a linear regression model within Rao-Blackwellized particle filter. The parameters of the linear model are adaptively estimated using a finite mixture, where the weights of components are tuned with a particle filter. The mixture reflects a priori given hypotheses on different scenarios of (expected) parameters' evolution.
: BB