Skew-t inference with improved covariance matrix approximation
Systems and Control
2016-03-22 v1 Computation
Abstract
Filtering and smoothing algorithms for linear discrete-time state-space models with skew-t distributed measurement noise are presented. The proposed algorithms improve upon our earlier proposed filter and smoother using the mean field variational Bayes approximation of the posterior distribution to a skew-t likelihood and normal prior. Our simulations show that the proposed variational Bayes approximation gives a more accurate approximation of the posterior covariance matrix than our earlier proposed method. Furthermore, the novel filter and smoother outperform our earlier proposed methods and conventional low complexity alternatives in accuracy and speed.
Cite
@article{arxiv.1603.06216,
title = {Skew-t inference with improved covariance matrix approximation},
author = {Henri Nurminen and Tohid Ardeshiri and Robert Piche and Fredrik Gustafsson},
journal= {arXiv preprint arXiv:1603.06216},
year = {2016}
}