Related papers: Skew-t Filter and Smoother with Improved Covarianc…
In this paper, we consider the problem of sensor selection for parameter estimation with correlated measurement noise. We seek optimal sensor activations by formulating an optimization problem, in which the estimation error, given by the…
Tracking underwater autonomous platforms is often difficult because of noisy, biased, and discretized input data. Classic filters and smoothers based on standard assumptions of Gaussian white noise break down when presented with any of…
The Kalman filter and Rauch-Tung-Striebel (RTS) smoother are optimal for state estimation in linear dynamic systems. With nonlinear systems, the challenge consists in how to propagate uncertainty through the state transitions and output…
Although there is ample work in the literature dealing with skewness in the multivariate setting, there is a relative paucity of work in the matrix variate paradigm. Such work is, for example, useful for modelling three-way data. A matrix…
Smoothing algorithms for state-space models, i.e., fixed-interval smoothing, fixed-lag smoothing, and two-filter formula for smoothing, are examined using real examples. For linear and Gaussian state-space models, it is observed that…
This paper presents a time discretization of the robust exact filtering differentiator, a sliding mode differentiator coupled to filter, which provides a suitable approximation to the derivatives of some noisy signals. This proposal takes…
Relying on recent advances in statistical estimation of covariance distances based on random matrix theory, this article proposes an improved covariance and precision matrix estimation for a wide family of metrics. The method is shown to…
In this paper we analyze a zeroth-order proximal stochastic gradient method suitable for the minimization of weakly convex stochastic optimization problems. We consider nonsmooth and nonlinear stochastic composite problems, for which…
For the purpose of maximum likelihood estimation of static parameters, we apply a kernel smoother to the particles in the standard SIR filter for non-linear state space models with additive Gaussian observation noise. This reduces the Monte…
This paper addresses the problem of separating audio sources from time-varying convolutive mixtures. We propose a probabilistic framework based on the local complex-Gaussian model combined with non-negative matrix factorization. The…
Kalman filtering can provide an optimal estimation of the system state from noisy observation data. This algorithm's performance depends on the accuracy of system modeling and noise statistical characteristics, which are usually challenging…
We present a framework to train a structured prediction model by performing smoothing on the inference algorithm it builds upon. Smoothing overcomes the non-smoothness inherent to the maximum margin structured prediction objective, and…
Smoothing is widely used approach for measurement noise reduction in spectral analysis. However, it suffers from signal distortion caused by peak suppression. A locally self-adjustive smoothing method is developed that retains sharp peaks…
The non-smooth finite-sum minimization is a fundamental problem in machine learning. This paper develops a distributed stochastic proximal-gradient algorithm with random reshuffling to solve the finite-sum minimization over time-varying…
In this work we propose an approximate Minimum Mean-Square Error (MMSE) filter for linear dynamic systems with Gaussian Mixture noise. The proposed estimator tracks each component of the Gaussian Mixture (GM) posterior with an individual…
In this paper we propose a (non-linear) smoothing algorithm for group-affine observation systems, a recently introduced class of estimation problems on Lie groups that bear a particular structure. As most non-linear smoothing methods, the…
In this article, we consider the problem of outlier-robust state estimation where the measurement noise can be correlated. Outliers in data arise due to many reasons like sensor malfunctioning, environmental behaviors, communication…
The aim of this paper is to discuss both higher-order asymptotic expansions and skewed approximations for the Bayesian Discrepancy Measure for testing precise statistical hypotheses. In particular, we derive results on third-order…
The paper is concerned with non-linear Gaussian filtering and smoothing in continuous-discrete state-space models, where the dynamic model is formulated as an It\^{o} stochastic differential equation (SDE), and the measurements are obtained…
Most Kalman filter extensions assume Gaussian noise and when the noise is non-Gaussian, usually other types of filters are used. These filters, such as particle filter variants, are computationally more demanding than Kalman type filters.…