8 citations · 22 across the 8 of their papers we have counts for
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math.ST2018★ 8 cited
On-Line Learning of Linear Dynamical Systems: Exponential Forgetting in Kalman Filters
Mark Kozdoba, Jakub Marecek, Tigran Tchrakian +1
Kalman filter is a key tool for time-series forecasting and analysis. We show that the dependence of a prediction of Kalman filter on the past is decaying exponentially, whenever t…
cs.LG2018★ 2 cited
Robust Spectral Filtering and Anomaly Detection
Jakub Marecek, Tigran Tchrakian
We consider a setting, where the output of a linear dynamical system (LDS) is, with an unknown but fixed probability, replaced by noise. There, we present a robust method for the p…