Performance Evaluation of Bayesian Estimator with Consistency Validation

Authors

Zuolei Sun, 1. Information communication college, Shanghai Maritime University, Shanghai 201306, China;;
Li Ying, 1. Information communication college, Shanghai Maritime University, Shanghai 201306, China;;
Zhang Bo, 2. Shanghai Advanced Research Institute, Chinese Academy of Sciences, Shanghai 201210, China;
Zhang Wen, 1. Information communication college, Shanghai Maritime University, Shanghai 201306, China;;

Abstract

Abstract: Considering the lack of sound evaluation method for Bayesian estimator design, an approach employing consistency as the core criterion was proposed. By studying the unbiasedness and whiteness of innovation sequence yielded during observation update routine, the normalized innovations square (NIS) was constructed, and then the chi-square test being able to detect the Posterior's consistency was carried out on NIS. Experiments demonstrate that the proposed algorithm can identify the inappropriate parameter configuration for both linear and nonlinear systems, therefore the performance of the estimators can be evaluated.

Recommended Citation

Sun, Zuolei; Ying, Li; Bo, Zhang; and Wen, Zhang (2020) "Performance Evaluation of Bayesian Estimator with Consistency Validation," Journal of System Simulation: Vol. 28: Iss. 3, Article 9.
Available at: https://dc-china-simulation.researchcommons.org/journal/vol28/iss3/9

First Page

569

Revised Date

2015-05-14

DOI Link

https://doi.org/

Last Page

576

CLC

TP13

Recommended Citation

Sun Zuolei, Li Ying, Zhang Bo, Zhang Wen. Performance Evaluation of Bayesian Estimator with Consistency Validation[J]. Journal of System Simulation, 2016, 28(3): 569-576.