0315684 20240111140711.020081202235959.9 10.1002/acs.1080 15 s. www cav_un_epca*02567720890-6327231 (2009)1-15Wiley Bayesian estimation Kullback–Leibler divergence functional approximation of estimation parameter tracking by stabilized forgetting ARX model cav_un_auth*0101124 Kárný Miroslav UTIA-B Department of Adaptive Systems Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0101061 Andrýsek Josef UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. pdf http://library.utia.cas.cz/separaty/2008/AS/karny-use%20of%20kullback-leibler%20divergence%20for%20forgetting.pdf 2C06001 GA MŠk cav_un_auth*0217685 1M0572 GA MŠk cav_un_auth*0001814 GA102/08/0567 GA ČR cav_un_auth*0239566 CEZ:AV0Z10750506 Non-symmetric Kullback–Leibler divergence (KLD) measures proximity of probability density functions (pdfs). Bernardo (Ann. Stat. 1979; 7(3):686–690) had shown its unique role in approximation of pdfs. The order of the KLD arguments is also implied by his methodological result. Functional approximation of estimation and stabilized forgetting, serving for tracking of slowly varying parameters, use the reversed order. This choice has the pragmatic motivation: recursive estimator often approximates the parametric model by a member of exponential family (EF) as it maps prior pdfs from the set of conjugate pdfs (CEF) back to the CEF. Approximations based on the KLD with the reversed order of arguments preserves this property. In the paper, the approximation performed within the CEF but with the proper order of arguments of the KLD is advocated. It is applied to the parameter tracking and performance improvements are demonstrated. Nesymetrická Kullback-Leiblerova divergence (KLD) měří blízkost pravděpodobnostních hustot. Dá se ukázat, že jedna z jejich verzí je teoreticky lepší. Článek popisuje využití této skutečnosti ke zlepšení techniky zapomínání. 2009 BB http://hdl.handle.net/11104/0165815 1.478 0.091 6.5 0.00231 0.542 671 55 2009 pdf cav_un_epca*0256772 International Journal of Adaptive Control and Signal Processing 0890-6327 1099-1115 Roč. 23 č. 1 2009 1 15 Wiley