PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Time Series Filtering, Smoothing and Learning using the Kernel Kalman Filter
Liva Ralaivola and Florence d'Alché-Buc
In: IJCNN 2005, 31 Jul- 4 Aug 2005, Montreal, Canada.

Abstract

In this paper, we propose a new model, the Kernel Kalman Filter, to perform various nonlinear time series processing. This model is based on the use of Mercer kernel functions in the framework of the Kalman Filter or Linear Dynamical Systems. Thanks to the kernel trick, all the equations involved in our model to perform filtering, smoothing and learning tasks, only require matrix algebra calculus whilst providing the ability to model complex time series. In particular, it is possible to learn dynamics from some nonlinear noisy time series implementing an exact Expectation--Maximization procedure.

EPrint Type:Conference or Workshop Item (Oral)
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Theory & Algorithms
ID Code:1461
Deposited By:Liva Ralaivola
Deposited On:28 November 2005