bibtype	C - Conference Paper (international conference)
ARLID	0411431
utime	20240103182327.1
mtime	20060210235959.9
title (primary) (eng)	The Variational EM algorithm for on-line identification of extended AR models
specification	page_count 4 s.
serial	title Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing page_num 117-120 ISBN 0-7803-8874-7 publisher place Philadelphia name IEEE year 2005
title (cze)	Variační EM algoritmus pro on-line identifikaci rozšířeného AR modelu
keyword	Bayesian inference
keyword	variational Bayes
keyword	recursive estimation
keyword	signal reconstruction
author (primary)	ARLID cav_un_auth*0101207 name1 Šmídl name2 Václav 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*0021112 name1 Quinn name2 A. country IE
COSATI	09I
cas_special	project project_id GA102/03/0049 agency GA ČR ARLID cav_un_auth*0001805 project project_id 1M0572 agency GA MŠk ARLID cav_un_auth*0001814 project project_id IBS1075351 agency GA AV ČR ARLID cav_un_auth*0001804 research CEZ:AV0Z10750506 abstract (eng) The AutoRegressive (AR) model is extended to cope with a wide class of possible transformations and degradations. The Variational Bayes (VB) procedure is used to restore conjugacy. The resulting Bayesian recursive identication procedure has many of the desirable computational proper- ties of the classical RLS procedure. During each time-step, an iterative Variational EM (VEM) procedure is required to obtain the necessary moments. The procedure is used to reconstruct an outlier-corrupted AR process. abstract (cze) Tradiční autoregresní (AR) model je rozšířen o možnost modelování široké škály možných transformací. Aproximační metoda Variační Bayes (VB) je použita k odhadování parametrů tohoto modelu. Výsledný algoritmus má výhodné výpočetní vlastnosti, srovnatelné s klasickými RLS algoritmy. V každém časovém kroku je však třeba provádět iterační výpočet momentů distribucí na parametrech. Popsaný algoritmus je aplikován na odstranění šumu z AR procesů. action ARLID cav_un_auth*0213172 name ICASSP 2005 place Philadelphia country US dates 18.03.2005-23.03.2005 RIV BC reportyear 2010 department AS permalink http://hdl.handle.net/11104/0131512 arlyear 2005 mrcbU63 Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing 0-7803-8874-7 117 120 Philadelphia IEEE 2005