MAP-based estimation of the parameters of non-stationary Gaussian processes from noisy observations

A. Krueger, R. Haeb-Umbach, in: IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP 2011), 2011, pp. 3596–3599.

Conference Paper | English
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Abstract
The paper proposes a modification of the standard maximum a posteriori (MAP) method for the estimation of the parameters of a Gaussian process for cases where the process is superposed by additive Gaussian observation errors of known variance. Simulations on artificially generated data demonstrate the superiority of the proposed method. While reducing to the ordinary MAP approach in the absence of observation noise, the improvement becomes the more pronounced the larger the variance of the observation noise. The method is further extended to track the parameters in case of non-stationary Gaussian processes.
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IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP 2011)
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3596-3599
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Krueger A, Haeb-Umbach R. MAP-based estimation of the parameters of non-stationary Gaussian processes from noisy observations. In: IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP 2011). ; 2011:3596-3599. doi:10.1109/ICASSP.2011.5946256
Krueger, A., & Haeb-Umbach, R. (2011). MAP-based estimation of the parameters of non-stationary Gaussian processes from noisy observations. In IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP 2011) (pp. 3596–3599). https://doi.org/10.1109/ICASSP.2011.5946256
@inproceedings{Krueger_Haeb-Umbach_2011, title={MAP-based estimation of the parameters of non-stationary Gaussian processes from noisy observations}, DOI={10.1109/ICASSP.2011.5946256}, booktitle={IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP 2011)}, author={Krueger, Alexander and Haeb-Umbach, Reinhold}, year={2011}, pages={3596–3599} }
Krueger, Alexander, and Reinhold Haeb-Umbach. “MAP-Based Estimation of the Parameters of Non-Stationary Gaussian Processes from Noisy Observations.” In IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP 2011), 3596–99, 2011. https://doi.org/10.1109/ICASSP.2011.5946256.
A. Krueger and R. Haeb-Umbach, “MAP-based estimation of the parameters of non-stationary Gaussian processes from noisy observations,” in IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP 2011), 2011, pp. 3596–3599.
Krueger, Alexander, and Reinhold Haeb-Umbach. “MAP-Based Estimation of the Parameters of Non-Stationary Gaussian Processes from Noisy Observations.” IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP 2011), 2011, pp. 3596–99, doi:10.1109/ICASSP.2011.5946256.

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