most citedBayesian Inference for Linear Dynamic Models with Dirichlet Process Mixtures

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math.ST2007★ 111 cited

Bayesian Inference for Linear Dynamic Models with Dirichlet Process Mixtures

François Caron, Manuel Davy, Arnaud Doucet +2

Using Kalman techniques, it is possible to perform optimal estimation in linear Gaussian state-space models. We address here the case where the noise probability density functions…