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![]() Title:Approximate Fusion of Probability Density Functions Using Gaussian Copulas Conference:FUSION2023 Tags:analytical approximation, Gaussian copulas, information fusion, nonlinear filtering and subjective Bayes Abstract: Subjective Bayesian estimation perceives probability density functions as expert opinions. Among various rules for combining the opinions, the product and the weighted geometric mean of densities are prominent. Nevertheless, closed-form representations are scarce and non-parametric approaches often suffer from the curse of dimensionality. This paper prospects the fusion of densities represented by non-parametric marginal densities and a parametric Gaussian copula. The explicit reconstruction of the joint densities followed by an optimisation step is avoided. A cheap approximate combination is proposed instead. The combination of marginal densities is tuned by a Gaussian term, while the proposed copula parameter uses moments of the marginal densities. The presented examples illustrate the approximative nature of the approach for non-Gaussian densities and highlight some numerical issues. Approximate Fusion of Probability Density Functions Using Gaussian Copulas ![]() Approximate Fusion of Probability Density Functions Using Gaussian Copulas | ||||
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