Time series prediction by Kalman smoother with cross-validated noise density

IEEE International Conference on Neural Networks - Conference Proceedings

Volumn 2, Issue , 2004, Pages 1615-1619

  Särkkä, Simo ^a   Vehtari, Aki ^a   Lampinen, Jouko ^a  

^a AALTO UNIVERSITY   (Finland)

Author keywords

[No Author keywords available]

Indexed keywords

BAYESIAN ANALYSIS; KALMAN SMOOTHER; LINEAR QUADRATIC GAUSSIAN (LQG) REGULATORS; TIME SERIES PREDICTION;

APPROXIMATION THEORY; GAUSSIAN NOISE (ELECTRONIC); KALMAN FILTERING; LINEAR SYSTEMS; MATHEMATICAL MODELS; RANDOM PROCESSES;

TIME SERIES ANALYSIS;

EID: 10944228649     PISSN: 10987576     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/IJCNN.2004.1380200     Document Type: Conference Paper

References (6)

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3. Y. Bar-Shalom, X.-R. Li, and T. Kirubarajan, Estimation with Applications to Tracking and Navigation. Wiley Interscience, 2001.
4. M. West and J. Harrison, Bayesian Forecasting and Dynamic Models. Springer-Verlag, 1997.
5. M. H. Hayes, Statistical Digital Signal Processing and Modeling. John Wiley & Sons, Inc., 1996.
6. J. M. Bernardo and A. F. M. Smith, Bayesian Theory. John Witey & Sons, 1994.