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Pré-Publication, Document De Travail Année : 2021

Recursive Estimation of State-Space Noise Covariance Matrix by Approximate Variational Bayes

Résumé

This working paper considers state-space models where the variance of the observation is known but the covariance matrix of the state process is unknown and potentially time-varying. We propose an adaptive algorithm to estimate jointly the state and the covariance matrix of the state process, relying on Variational Bayes and second-order Taylor approximations.
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Dates et versions

hal-03199401 , version 1 (15-04-2021)
hal-03199401 , version 2 (08-11-2021)

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Citer

Joseph de Vilmarest, Olivier Wintenberger. Recursive Estimation of State-Space Noise Covariance Matrix by Approximate Variational Bayes. 2021. ⟨hal-03199401v1⟩
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