probml / rebayes

Recursive Bayesian Estimation (Sequential / Online Inference)
MIT License
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fixed lag adaptive VB-EKF for Q and R #40

Closed murphyk closed 1 year ago

murphyk commented 1 year ago

Implement fixed lag method of Huang'20

Y. Huang, F. Zhu, G. Jia, and Y. Zhang, “A Slide Window Variational Adaptive Kalman Filter,” IEEE Trans. Circuits Syst. Express Briefs, vol. 67, no. 12, pp. 3552–3556, Dec. 2020, doi: 10.1109/TCSII.2020.2995714. [Online]. Available: http://dx.doi.org/10.1109/TCSII.2020.2995714