Bayesian inference for linear dynamic models with Dirichlet process mixtures

Journal article

Using Kalman techniques, it is possible to perform optimal estimation in linear Gaussian state-space models. Here, we address the case where the noise probability density functions are of unknown functional form. A flexible Bayesian nonparametric noise model based on Dirichlet process mixtures is introduced. Efficient Markov chain Monte Carlo and sequential Monte Carlo methods are then developed to perform optimal batch and sequential estimation in such contexts. The algorithms are applied to blind deconvolution and change point detection. Experimental results on synthetic and real data demonstrate the efficiency of this approach in various contexts. © 2007 IEEE.

Authors: Caron, F; Davy, M; Doucet, A; Duflos, E; Vanheeghe, P

• Publication status: Published
• Journal: IEEE TRANSACTIONS ON SIGNAL PROCESSING More from this journal
• Volume: 56
• Issue: 1
• Pages: 71-84
• Publication date: 2008-01-01
• DOI: 10.1109/TSP.2007.900167
• EISSN: 1941-0476
• ISSN: 1053-587X
• Language: English
• Keywords: Markov chain Monte Carlo (MCMC); Rao-blackwellization; Dirichlet process mixture (DPM); Bayesian nonparametrics; particle filter