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math.OC2021★ 2 cited
Explicit construction of the minimum error variance estimator for stochastic LTI state-space systems
Deividas Eringis, John Leth, Zheng-Hua Tan +2
In this short article, we showcase the derivation of the optimal (minimum error variance) estimator, when one part of the stochastic LTI system output is not measured but is able t…
stat.ML2021
PAC-Bayesian theory for stochastic LTI systems
Deividas Eringis, John Leth, Zheng-Hua Tan +3
In this paper we derive a PAC-Bayesian error bound for autonomous stochastic LTI state-space models. The motivation for deriving such error bounds is that they will allow deriving…