Nonlinear regression using smooth Bayesian estimation
Abderrahim Halimi, Corinne Mailhes, Jean‐Yves Tourneret · 2015
This paper proposes a new Bayesian strategy for the estimation of smooth parameters from nonlinear models. The observed signal is assumed to be corrupted by an independent and non identically (colored) Gaussian distribution. A prior enforcing a smooth temporal evolution of the model parameters is considered. The joint posterior distribution of the unknown parameter vector is then derived. A Gibbs sampler coupled with a Hamiltonian Monte Carlo algorithm is proposed which allows samples distributed according to the posterior of interest to be generated and to estimate the unknown model parameters/hyperparameters. Simulations conducted with synthetic and real satellite altimetric data show the potential of the proposed Bayesian model and the corresponding estimation algorithm for nonlinear regression with smooth estimated parameters.