010 Validation of grey box models: J. Holst, U. Holst, H. Madsen, H. Melgaard, pp 53–60

• Publisher: Elsevier Science
• Year: 1993
• Tongue: English
• Weight: 107 KB
• Volume: 1
• Category: Article
• ISSN: 0967-0661
• DOI: 10.1016/0967-0661(93)90029-q

✦ Synopsis

The paper describes recent progress in approximation of re, cursive Bayesian parameter estimation which would make the Bayesian paradigm feasible for a class of nonstandard models. The presented method is based on maximum-entropy approximation of the empirical distribution of data while just a reduced (non-sufficient) data statistic is available. The statistic is chosen so as to induce an equivalence relation on the set of posterior probability distributions, compatible with the Bayes-rule action. The .approximating posterior density of unknown parameters ts given by the standard Bayes-rule transformation of the approximating distribution of data. Numerical implementation of the general algorithm is considered.