144 citations · 430 across the 22 of their papers we have counts for
4 papers · 1 filter
Autonomous Tracking and State Estimation with Generalised Group Lasso
Rui Gao, Simo Särkkä, Rubén Claveria-Vega +1
We address the problem of autonomous tracking and state estimation for marine vessels, autonomous vehicles, and other dynamic signals under a (structured) sparsity assumption. The…
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…