Bayesian_estimator Class Reference

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 \mathbf{\mu} and covariance \hat{\mathbf{C}}, which has a conjugate prior given by a normal-inverse-Wishart distribution with parameters \mathbf{\mu}_{0}, \kappa_{0}, \nu_{0}, and \mathbf{\Psi}.

[1] TODO: Ref1

Definition at line 60 of file bayesian_estimation.h.

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

• bayesian_estimation.h