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Non-Parametric Bayesian Measurement Noise Density Estimation in Non-Linear Filtering
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Institute of Information Theory and Automation, Czech Repbulic.
2011 (English)In: Acoustics, Speech and Signal Processing (ICASSP), 2011, IEEE , 2011, 5924-5927 p.Conference paper, Published paper (Refereed)
Abstract [en]

In this study, we investigate online Bayesian estimation of the measurement noise density of a given state space model using particle filters and Dirichlet process mixtures. Dirichlet processes are widely used in statistics for nonparametric density estimation. In the proposed method, the unknown noise is modeled as a Gaussian mixture with unknown number of components. The joint estimation of the state and the noise density is done via particle filters. Furthermore, the number of components and the noise statistics are allowed to vary in time. An extension of the method for the estimation of time varying noise characteristics is also introduced.

Place, publisher, year, edition, pages
IEEE , 2011. 5924-5927 p.
Series
IEEE International Conference on Acoustics, Speech and Signal Processing. Proceedings, ISSN 1520-6149
Keyword [en]
Particle filtering, Dirichlet process, Bayesian estimation, Adaptive filtering, Marginalized particle filters
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-73373DOI: 10.1109/ICASSP.2011.5947710ISI: 000296062406158ISBN: 978-1-4577-0538-0 (print)ISBN: 978-1-4577-0537-3 (print)OAI: oai:DiVA.org:liu-73373DiVA: diva2:471284
Conference
IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP 2011), 22-27 May 2011, Prague, Czech Republic
Available from: 2012-01-02 Created: 2012-01-02 Last updated: 2013-09-19Bibliographically approved

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Özkan, EmreSaha, SaikatGustafsson, Fredrik

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
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