15 citations · 18 across the 5 of their papers we have counts for
5 papers · 1 filter
Estimation of log-Gaussian gamma processes with iterated posterior linearization and Hamiltonian Monte Carlo
Teemu Härkönen, Simo Särkkä
Stochastic processes are a flexible and widely used family of models for statistical modeling. While stochastic processes offer attractive properties such as inclusion of uncertain…
Hierarchical Non-Stationary Temporal Gaussian Processes With -Regularization
Zheng Zhao, Rui Gao, Simo Särkkä
This paper is concerned with regularized extensions of hierarchical non-stationary temporal Gaussian processes (NSGPs) in which the parameters (e.g., length-scale) are modeled as G…
Taylor Moment Expansion for Continuous-Discrete Gaussian Filtering and Smoothing
Zheng Zhao, Toni Karvonen, Roland Hostettler +1
The paper is concerned with non-linear Gaussian filtering and smoothing in continuous-discrete state-space models, where the dynamic model is formulated as an Itô stochastic differ…
On the relation between Gaussian process quadratures and sigma-point methods
Simo Särkkä, Jouni Hartikainen, Lennart Svensson +1
This article is concerned with Gaussian process quadratures, which are numerical integration methods based on Gaussian process regression methods, and sigma-point methods, which ar…
Application of Girsanov Theorem to Particle Filtering of Discretely Observed Continuous-Time Non-Linear Systems
Simo Särkkä, Tommi Sottinen
This article considers the application of particle filtering to continuous-discrete optimal filtering problems, where the system model is a stochastic differential equation, and no…