probml / rebayes

Recursive Bayesian Estimation (Sequential / Online Inference)
MIT License
55 stars 5 forks source link

recursive VB for estimating R #39

Closed murphyk closed 1 year ago

murphyk commented 1 year ago

Implement

J. Hartikainen and S. Särkkä, “Variational Bayesian Adaptation of Noise Covariances in Non-Linear Kalman Filtering,” arXiv [stat.ME], Feb. 04, 2013 [Online]. Available: http://arxiv.org/abs/1302.0681