
6
Sequential Bayesian Inference for Dynamic
State Space Model Pa r ameters
Arnab B hattacharya
Heriot-Watt University
Simon Wilson
Trinity College
CONTENTS
6.1 Introduction . .. .. .. . . . .. . . .. . . . .. .. .. . .. . . .. . . . . . . . .. . . . . . .. .. . . . . 123
6.2 Principle . . . .. . . . . . . . .. . . . . . .. .. . . . . . .. . . .. . . . .. . . .. . . . .. .. . .. . . .. . 125
6.3 Predicting and Filtering Density Approximations . .. .. .. . . . .. . . . 126
6.3.1 Basic approximations . .. . . .. . . . . . .. .. . . . . . .. .. . . . . . .. . . .. 127
Extended KF . . . . . . . . .. . . .. . .. .. . . . . . .. . . .. . . . .. .. .. . . . .