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December 2017

Prof. Lang White – Gaussian Generalised Reciprocal Processes – Building on Markov Models

December 7 @ 4:10 pm - 5:00 pm
EM324 Engineering Math Building

Intended Audience This presentation is partly a tutorial on certain Gaussian random process models, realisation and state estimation. Many people are familiar with Gaussian Markov state space models but may not know how these models arise from the conditional independence assumptions specifying the Markov property. Graphical models are a useful tool for understanding this process and for deriving optimal filters and smoothers, so the seminar devotes some time to this topic.¬†Generalisations to reciprocal processes follow in a similar manner.¬†Students should…

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