Bayesian estimation of dynamic finite mixtures
Article first published online: 3 MAY 2011
Copyright © 2011 John Wiley & Sons, Ltd.
International Journal of Adaptive Control and Signal Processing
Volume 25, Issue 9, pages 765–787, September 2011
How to Cite
Nagy, I., Suzdaleva, E., Kárný, M. and Mlynářová, T. (2011), Bayesian estimation of dynamic finite mixtures. Int. J. Adapt. Control Signal Process., 25: 765–787. doi: 10.1002/acs.1239
- Issue published online: 3 AUG 2011
- Article first published online: 3 MAY 2011
- Manuscript Accepted: 4 FEB 2011
- Manuscript Revised: 5 NOV 2010
- Manuscript Received: 30 APR 2010
- mixture model;
- Bayesian estimation;
- working point detection and prediction
The paper introduces an algorithm for estimation of dynamic mixture models. A new feature of the proposed algorithm is the ability to consider a dynamic form not only for component models but also for the pointer model, which describes the activities of the mixture components in time. The pointer model is represented by a table of transition probabilities that stochastically control the switching between the active components in dependence on the last active one. This feature brings the mixture model closer to real multi-modal systems. It can also serve for a prediction of the future behavior of the modeled system. Copyright © 2011 John Wiley & Sons, Ltd.