Bayesian_estimator is an estimator of noise characteristics (i.e. mean, covariance) More...

#include <bayesian_estimation.h>

Public Member Functions
	Bayesian_estimator (int ny)

	Bayesian_estimator (const arma::vec &mu_prior_0, int kappa_prior_0, int nu_prior_0, const arma::mat &Psi_prior_0)

void	init (const arma::mat &mu_prior_0, int kappa_prior_0, int nu_prior_0, const arma::mat &Psi_prior_0)

void	update_sequential (const arma::vec &data)

void	update_sequential (const arma::vec &data, const arma::vec &mu_prior_0, int kappa_prior_0, int nu_prior_0, const arma::mat &Psi_prior_0)

arma::mat	get_mu_est () const

arma::mat	get_Psi_est () const

Detailed Description

Bayesian_estimator is an estimator of noise characteristics (i.e. mean, covariance)

Bayesian_estimator is an estimator which performs estimation of noise characteristics from a sequence of identically and independently distributed (IID) samples of a stationary stochastic process by way of Bayesian inference using conjugate priors. The posterior distribution is assumed to be Gaussian with mean {} and covariance {{C}}, which has a conjugate prior given by a normal-inverse-Wishart distribution with paramemters {}_{0}, {0}, {0}, and {}.

[1] TODO: Ref1

Definition at line 60 of file bayesian_estimation.h.

The documentation for this class was generated from the following file:

bayesian_estimation.h

Public Member Functions

Detailed Description