38 citations · 71 across the 4 of their papers we have counts for
6 papers
Hidden Markov Models Applied To Intraday Momentum Trading With Side Information
Hugh Christensen, Simon Godsill, Richard E Turner
A Hidden Markov Model for intraday momentum trading is presented which specifies a latent momentum state responsible for generating the observed securities' noisy returns. Existing…
A Multi-Target Track-Before-Detect Particle Filter Using Superpositional Data in Non-Gaussian Noise
Nobutaka Ito, Simon Godsill
This paper proposes a novel particle filter for tracking time-varying states of multiple targets jointly from superpositional data, which depend on the sum of contributions of all…
The Lévy State Space Model
Simon Godsill, Marina Riabiz, Ioannis Kontoyiannis
In this paper we introduce a new class of state space models based on shot-noise simulation representations of non-Gaussian Lévy-driven linear systems, represented as stochastic di…
Nonasymptotic Gaussian Approximation for Inference with Stable Noise
Marina Riabiz, Tohid Ardeshiri, Ioannis Kontoyiannis +1
The results of a series of theoretical studies are reported, examining the convergence rate for different approximate representations of -stable distributions. Although they pla…
If and When a Driver or Passenger is Returning to Vehicle: Framework to Infer Intent and Arrival Time
Bashar I. Ahmad, Patrick M. Langdon, Simon J. Godsill +2
This paper proposes a probabilistic framework for the sequential estimation of the likelihood of a driver or passenger(s) returning to the vehicle and time of arrival, from the ava…
Bayesian Compressive Sensing Approaches for Direction of Arrival Estimation with Mutual Coupling Effects
Matthew Hawes, Lyudmila Mihaylova, François Septier +1
The problem of estimating the dynamic direction of arrival of far field signals impinging on a uniform linear array, with mutual coupling effects, is addressed. This work proposes…