Lesson 14 Maximum a Posteriori Estimation of Random Parameters
MAP estimation is also known as Bayesian estimation. Obtaining a MAP estimate involves specifying both p [Z(k)|θ] and p (θ) and finding the value of θ that maximizes p (θ|Z(k)). Generally, optimization must be used to compute . When Z(k) and θ are jointly Gaussian, then we show that .
We also examine for the generic linear and Gaussian model when H(k) is deterministic, V(k) is ...