Bayesian Methods and Simulation Techniques

  • Thierry Chonavel
Part of the Advanced Textbooks in Control and Signal Processing book series (C&SP)

Abstract

Purpose Here, we present a general methodology for solving problems of filtering, smoothing, and prediction, along with that of identifying transfer functions. For this, we use a Bayesian approach, which allows possible a priori information about the desired parameters to be incorporated. In order to be able to perform the numerical computation of the estimators, we use Monte Carlo techniques to solve integration and maximisation problems that appear in Bayesian estimation.

Keywords

Estima Tame 

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Copyright information

© Springer-Verlag London 2002

Authors and Affiliations

  • Thierry Chonavel
    • 1
  1. 1.ENST de BretagneTechnopôle de Brest IroiseBrest CedexFrance

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