arxivstat.MLcs.IT2026-07-01
Hierarchical Variational Kalman Filtering
Shilei Li, Dawei Shi, Wei Zheng, Ling Shi
Traditional variational Kalman filtering with unknown noise statistics suffers from inconsistent process covariance estimation and slow convergence speed, limiting its practical utility. To address these issues, we introduce a surrogate variable representing the process-noise-fre…