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Parameterized Joint Densities with Gaussian and Gaussian Mixture Marginals

Sawo, Felix; Brunn, Dietrich; Hanebeck, Uwe D.

In this paper we attempt to lay the foundation for a novel filtering technique for the fusion of two random vectors with imprecisely known stochastic dependency. This problem mainly occurs in decentralized estimation, e.g., of a distributed phenomenon, where the stochastic dependencies between the individual states are not stored. Thus, we derive parameterized joint densities with both Gaussian marginals and Gaussian mixture marginals. These parameterized joint densities contain all information about the stochastic dependencies between their marginal densities in terms of a parameter vector xi, which can be regarded as a generalized correlation parameter. Unlike the classical correlation coefficient, this parameter is a sufficient measure for the stochastic dependency even characterized by more complex density functions such as Gaussian mixtures. Once this structure and the bounds of these parameters are known, bounding densities containing all possible density functions could be found.

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Volltext §
DOI: 10.5445/IR/1000013902
Zugehörige Institution(en) am KIT Institut für Anthropomatik (IFA)
Publikationstyp Proceedingsbeitrag
Jahr 2006
Sprache Englisch
Identifikator ISBN: 1-4244-0953-5
KITopen-ID: 1000013902
Erschienen in 9th International Conference on Information Fusion, July 2006, Florence, Italy
Verlag IEEE Service Center, Piscataway (NJ)
Seiten 1 - 8
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