| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0379258 |
| utime |
20240103201107.4 |
| mtime |
20120828235959.9 |
| WOS |
000309943200050 |
| DOI |
10.1109/SSP.2012.6319658 |
| title
(primary) (eng) |
Bayesian Estimation of Forgetting Factor in Adaptive Filtering and Change Detection |
| specification |
| page_count |
4 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0379257 |
| ISBN |
978-1-4673-0182-4 |
| title
|
Proceedings of the IEEE Statistical Signal Processing Workshop 2012 |
| page_num |
197-200 |
| publisher |
| place |
Ann Arbor |
| name |
IEEE |
| year |
2012 |
|
|
| keyword |
Marginalized particle filter |
| keyword |
Rao-Blackwellization |
| keyword |
maximum entropy |
| author
(primary) |
| ARLID |
cav_un_auth*0101207 |
| name1 |
Šmídl |
| name2 |
Václav |
| full_dept (cz) |
Adaptivní systémy |
| full_dept (eng) |
Department of Adaptive Systems |
| department (cz) |
AS |
| department (eng) |
AS |
| institution |
UTIA-B |
| full_dept |
Department of Adaptive Systems |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0264146 |
| name1 |
Gustafsson |
| name2 |
F. |
| country |
SE |
|
| source |
|
| cas_special |
| project |
| project_id |
GAP102/11/0437 |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0273082 |
|
| abstract
(eng) |
An adaptive filter is derived in a Bayesian framework from the assumption that the difference in the parameter distribution from one time to another is bounded in terms of the Kullback-Leibler divergence. We show an explicit link to the general concepts of exponential forgetting, and outline the details for a linear Gaussian model with unknown parameter and covariance. We extend the problem to an unknown forgetting factor, where we provide a particular prior that allows for abrupt changes in forgetting, which is useful in change detection problems. The Rao-Blackwellized particle filter is used for the implementation, and its performance is assessed in a simulation of system with abrupt changes of parameters. |
| action |
| ARLID |
cav_un_auth*0282796 |
| name |
2012 IEEE Statistical Signal Processing Workshop |
| place |
Ann Arbor |
| dates |
05.08.2012-08.08.2012 |
| country |
US |
|
| reportyear |
2013 |
| RIV |
BD |
| presentation_type |
PO |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0210510 |
| arlyear |
2012 |
| mrcbU34 |
000309943200050 WOS |
| mrcbU63 |
cav_un_epca*0379257 Proceedings of the IEEE Statistical Signal Processing Workshop 2012 978-1-4673-0182-4 197 200 Ann Arbor IEEE 2012 |
|