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Use of the Kalman filter for inference in state-space models with unknown noise distributions.

, , and . IEEE Trans. Automat. Contr., 49 (1): 87-90 (2004)

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Conditions for the insensitivity of the Bayesian posterior distribution to the choice of prior distribution, and . Statistics & Probability Letters, 5 (6): 401--407 (October 1987)First-order data sensitivity measures with applications to a multivariate signal-plus-noise problem, and . Computational Statistics & Data Analysis, 9 (3): 297--307 (May 1990)Use of the Kalman filter for inference in state-space models with unknown noise distributions., , and . IEEE Trans. Automat. Contr., 49 (1): 87-90 (2004)Stochastic optimisation with inequality constraints using simultaneous perturbations and penalty functions., and . Int. J. Control, 81 (8): 1232-1238 (2008)Distribution Estimation for Stochastic Approximation in Finite Samples Using A Surrogate Stochastic Differential Equation Method., , and . CISS, page 1-6. IEEE, (2019)Reliability estimation and confidence regions from subsystem and full system tests via maximum likelihood.. PerMIS, page 9-16. ACM, (2008)Rate of convergence in evolutionary computation., and . ACC, page 1932-1937. IEEE, (2003)Improved SPSA Using Complex Variables with Applications in Optimal Control Problems., and . ACC, page 3519-3524. IEEE, (2021)Probabilistic Bounds for a Class of Filtering Algorithms in the Scalar Case., and . ACC, page 4039-4044. IEEE, (2021)Relative performance of expected and observed fisher information in covariance estimation for maximum likelihood estimates., and . ACC, page 1871-1876. IEEE, (2012)