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Estimation of Linear Systems with Abrupt Changes of the Noise Covariances Using Variational Bayes Algorithm

Research output: Book/ReportCommissioned reportProfessional


Original languageEnglish
Place of PublicationTampere
PublisherTampere University of Technology, Department of Mathematics
Number of pages4
ISBN (Electronic)978-952-15-2923-8
Publication statusPublished - 2012
Publication typeD4 Published development or research report or study

Publication series

NameTampereen teknillinen yliopisto. Matematiikan laitos. Tutkimusraportti
PublisherTampereen teknillinen yliopisto
ISSN (Print)1459-3750


The variational Bayes method is applied to the state-space estimation problem with maneuvers or changes in the covariance of the observation noise. The resulting algorithm is an off-line batch method that can be used to provide a baseline performance estimation results for the recursive methods. In addition to batch methods we introduce a heuristic approach to make the algorithm on-line. Through simulations we show how the introduced method achieves the best accuracy out of all compared approximative estimation methods.

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Field of science, Statistics Finland

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