Simo Särkkä

Peer-reviewed scientific articles

Journal article-refereed, Original research

Statistical analysis of differential equations introducing probability measures on numerical solutions

Conrad, Patrick R.; Girolami, Mark; Särkkä, Simo; Stuart, Andrew; Zygalakis, Konstantinos

2017 in STATISTICS AND COMPUTING (Springer Netherlands)

ISSN: 0960-3174

Cooperative localisation using posterior linearisation belief propagation

Garcia-Fernandez, Angel F.; Svensson, Lennart; Sarkka, Simo

2017 in IEEE TRANSACTIONS ON VEHICULAR TECHNOLOGY (Institute of Electrical and Electronics Engineers Inc.)

ISSN: 0018-9545

Iterated posterior linearisation smoother

García-Fernández, Ángel; Svensson, Lennart; Särkkä, Simo

2017 in IEEE TRANSACTIONS ON AUTOMATIC CONTROL (Institute of Electrical and Electronics Engineers Inc.)

ISSN: 0018-9286

Sparse Approximations of Fractional Matérn Fields

Roininen, Lassi; Lasanen, Sari; Orispää, Mikko; Särkkä, Simo

2017 in SCANDINAVIAN JOURNAL OF STATISTICS (Wiley-Blackwell)

ISSN: 0303-6898

Probability Measures for Numerical Solutions of Differential Equations

Conrad, Patrick; Girolami, Mark; Särkkä, Simo; Stuart, Andrew; Zygalakis, Konstantinos

2016 in STATISTICS AND COMPUTING (Springer Netherlands)

ISSN: 0960-3174

Sigma-Point Filtering and Smoothing Based Parameter Estimation in Nonlinear Dynamic Systems

Kokkala, Juho; Solin, Arno; Särkkä, Simo

2016 in JOURNAL OF ADVANCES IN INFORMATION FUSION (Information Society of Information Fusion)

ISSN: 1557-6418

Rao-Blackwellized Particle Smoothers for Conditionally Linear Gaussian Models

Lindsten, Fredrik; Bunch, Pete; Särkkä, Simo; Schön, Thomas B.; Godsill, Simon J.

2016 in IEEE JOURNAL OF SELECTED TOPICS IN SIGNAL PROCESSING (IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC)

ISSN: 1932-4553

Moment conditions for convergence of particle filters with unbounded importance weights

Mbalawata, Isambi S.; Särkkä, Simo

2016 in SIGNAL PROCESSING (Elsevier)

ISSN: 0165-1684

On the relation between Gaussian process quadratures and sigma-point methods

Särkkä, Simo; Hartikainen, Jouni; Svensson, Lennart; Sandblom, Fredrik

2016 in JOURNAL OF ADVANCES IN INFORMATION FUSION (Information Society of Information Fusion)

ISSN: 1557-6418

Gaussian filtering and variational approximations for Bayesian smoothing in continuous-discrete stochastic dynamic systems

Ala-Luhtala, Juha; Särkkä, Simo; Piche, Robert

2015 in SIGNAL PROCESSING (Elsevier)

ISSN: 0165-1684

Batch nonlinear continuous-time trajectory estimation as exactly sparse Gaussian process regression

Anderson, Sean; Barfoot, Timothy D.; Tong, Chi Hay; Särkkä, Simo

2015 in Autonomous Robots (Springer Netherlands)

ISSN: 0929-5593

A Bayesian Particle Filtering Method For Brain Source Localisation

Chen, Xi; Särkkä, Simo; Godsill, Simon

2015 in DIGITAL SIGNAL PROCESSING (Elsevier Inc.)

ISSN: 1051-2004

Posterior Linearization Filter: Principles and Implementation Using Sigma Points

Garcia-Fernandez, Angel F.; Svensson, Lennart; Morelande, Mark R.; Särkkä, Simo

2015 in IEEE TRANSACTIONS ON SIGNAL PROCESSING (IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC)

ISSN: 1053-587X

On the (non-)convergence of particle filters with Gaussian importance distributions

Kokkala, Juho; Särkkä, Simo

2015 in IFAC-PapersOnLine (Elsevier Science Ltd (Pergamon))

ISSN: 2405-8963

Combining particle MCMC with Rao-Blackwellized Monte Carlo data association for parameter estimation in multiple target tracking

Kokkala, Juho; Särkkä, Simo

2015 in DIGITAL SIGNAL PROCESSING (Elsevier Inc.)

ISSN: 1051-2004

Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter

Mbalawata, Isambi S.; Särkkä, Simo; Vihola, Matti; Haario, Heikki

2015 in COMPUTATIONAL STATISTICS AND DATA ANALYSIS (Elsevier Science B.V.)

ISSN: 0167-9473

Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC

Särkkä, Simo; Hartikainen, Jouni; Mbalawata, Isambi Sailon; Haario, Heikki

2015 in STATISTICS AND COMPUTING (Springer Netherlands)

ISSN: 0960-3174

Series Expansion Approximations of Brownian Motion for Non-Linear Kalman Filtering of Diffusion Processes

Lyons, Simon M.J.; Särkkä, Simo; Storkey, Amos J.

2014 in IEEE TRANSACTIONS ON SIGNAL PROCESSING (IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC)

ISSN: 1053-587X

Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering

Mbalawata, Isambi S.; Särkkä, Simo; Haario, Heikki

2013 in COMPUTATIONAL STATISTICS (Springer Verlag)

ISSN: 0943-4062

Infinite-dimensional Bayesian filtering for detection of quasiperiodic phenomena in spatiotemporal data

Solin, Arno; Särkkä, Simo

2013 in PHYSICAL REVIEW E (AMER PHYSICAL SOC)

ISSN: 1539-3755

Gaussian filtering and smoothing for continuous-discrete dynamic systems

Särkkä, Simo; Sarmavuori, Juha

2013 in SIGNAL PROCESSING (Elsevier)

ISSN: 0165-1684

Spatiotemporal Learning via Infinite-Dimensional Bayesian Filtering and Smoothing

Särkkä, Simo; Solin, Arno; Hartikainen, Jouni

2013 in IEEE Signal Processing Magazine (IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC)

ISSN: 1053-5888

Fourier-Hermite Kalman Filter

Sarmavuori, Juha; Särkkä, Simo

2012 in IEEE TRANSACTIONS ON AUTOMATIC CONTROL (Institute of Electrical and Electronics Engineers Inc.)

ISSN: 0018-9286

Dynamic retrospective filtering of physiological noise in BOLD fMRI: DRIFTER

Särkkä, S.; Solin, A.; Nummenmaa, A.; Vehtari, A.; Auranen, T.; Vanni, S.; Lin, F.-H.

2012 in NEUROIMAGE (ACADEMIC PRESS INC ELSEVIER SCIENCE)

ISSN: 1053-8119

Phase-Based UHF RFID Tracking with Non-Linear Kalman Filtering and Smoothing

Särkkä, Simo; Viikari, Ville; Huusko, Miika; Jaakkola, Kaarle

2012 in IEEE SENSORS JOURNAL (IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC)

ISSN: 1530-437X

State space regularization in the nonstationary inverse problem for diffuse optical tomography

Hiltunen, P.; Särkkä, S.; Nissilä, I.; Lajunen, A.; Lampinen, J.

2011 in Inverse Problems (IOP PUBLISHING LTD)

ISSN: 0266-5611

Accurate Discretization of Analog Audio Filters with Application to Parametric Equalizer Design

Särkkä, Simo; Huovilainen, Antti

2011 in IEEE TRANSACTIONS ON AUDIO SPEECH AND LANGUAGE PROCESSING (Institute of Electrical and Electronics Engineers Inc.)

ISSN: 1558-7916

Continuous-Time and Continuous-Discrete-Time Unscented Rauch-Tung-Striebel Smoothers

Särkkä, Simo

2010 in SIGNAL PROCESSING (Elsevier)

ISSN: 0165-1684

On Gaussian Optimal Smoothing of Non-Linear State Space Models

Särkkä, Simo; Hartikainen, Jouni

2010 in IEEE TRANSACTIONS ON AUTOMATIC CONTROL (Institute of Electrical and Electronics Engineers Inc.)

ISSN: 0018-9286

Recursive Noise Adaptive Kalman Filtering by Variational Bayesian Approximations

Särkkä, Särkkä

2009 in IEEE TRANSACTIONS ON AUTOMATIC CONTROL (Institute of Electrical and Electronics Engineers Inc.)

ISSN: 0018-9286

Unscented Rauch-Tung-Striebel smoother

Särkkä, Simo

2008 in IEEE TRANSACTIONS ON AUTOMATIC CONTROL (Institute of Electrical and Electronics Engineers Inc.)

ISSN: 0018-9286

Application of Girsanov Theorem to Particle Filtering of Discretely Observed Continuous - Time Non-Linear Systems

Särkkä, Simo; Sottinen, Tommi

2008 in BAYESIAN ANALYSIS (Carnegie Mellon University)

On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems

Särkkä, Simo

2007 in IEEE TRANSACTIONS ON AUTOMATIC CONTROL (Institute of Electrical and Electronics Engineers Inc.)

Rao-Blackwellized Particle Filter for Multiple Target Tracking

Särkkä, Simo; Vehtari, Aki; Lampinen, Jouko

2007 in INFORMATION FUSION (Elsevier)

ISSN: 1566-2535

CATS benchmark time series prediction by Kalman smoother with cross-validated noise density

Särkkä, Simo; Vehtari, Aki; Lampinen, Jouko

2007 in NEUROCOMPUTING (Elsevier Science B.V.)

ISSN: 0925-2312

Conference proceedings

Classical quadrature rules via Gaussian processes

Karvonen, Toni; Särkkä, Simo

2017 in IEEE International Workshop on Machine Learning for Signal Processing (Institute of Electrical and Electronics Engineers Inc.)

ISBN: 978-1-5090-6341-3

ISSN: 2161-0363

Student-t process quadratures for filtering of non-linear systems with heavy-tailed noise

Prüher, Jakub; Tronarp, Filip; Karvonen, Toni; Särkkä, Simo; Straka, Ondrej

2017

ISBN: 978-0-9964-5270-0

Prediction of preterm infant mortality with Gaussian process classification

Rinta-Koski, Olli-Pekka; Särkkä, Simo; Hollmen, Jaakko; Andersson, Sture

2017

ISBN: 9782875870391

Expectation–maximization algorithm with a nonlinear kalman smoother for MEG/EEG connectivity estimation

Subramaniyam, Narayan Puthanmadam; Tronarp, Filip; Särkkä, Simo; Parkkonen, Lauri

2017 in IFMBE Proceedings (Springer-Verlag)

ISBN: 9789811051210

ISSN: 1680-0737

A linear stochastic state space model for electrocardiograms

Suotsalo, Kimmo; Särkkä, Simo

2017 in IEEE International Workshop on Machine Learning for Signal Processing (Institute of Electrical and Electronics Engineers Inc.)

ISBN: 978-1-5090-6341-3

ISSN: 2161-0363

Detecting Malignant Ventricular Arrhythmias in Electrocardiograms by Gaussian Process Classification

Suotsalo, Kimmo; Särkkä, Simo

2017 in IEEE International Workshop on Machine Learning for Signal Processing (Institute of Electrical and Electronics Engineers Inc.)

ISBN: 978-1-5090-6341-3

ISSN: 2161-0363

IMU and magnetometer modeling for smartphone-based PDR

Hostettler, Roland; Särkkä, Simo

2016 in International Conference on Indoor Positioning and Indoor Navigation (Institute of Electrical and Electronics Engineers Inc.)

ISBN: 9781509024254

ISSN: 2162-7347

Fourier–Hermite series for stochastic stability analysis of non-linear Kalman filters

Karvonen, Toni; Särkkä, Simo

2016

ISBN: 978-0-9964527-4-8

Approximate state-space Gaussian processes via spectral transformation

Karvonen, Toni; Särkkä, Simo

2016 in IEEE International Workshop on Machine Learning for Signal Processing (IEEE COMPUTER SOCIETY PRESS)

ISBN: 9781509007462

ISSN: 2161-0363

On the use of gradient information in Gaussian process quadratures

Pruher, Jakub; Särkkä, Simo

2016 in IEEE International Workshop on Machine Learning for Signal Processing (IEEE COMPUTER SOCIETY PRESS)

ISBN: 9781509007462

ISSN: 2161-0363

Terrain navigation in the magnetic landscape Particle filtering for indoor positioning

Solin, Arno; Särkkä, Simo; Kannala, Juho; Rahtu, Esa

2016

ISBN: 9781479989157

Nonlinear state space model identification using a regularized basis function expansion

Svensson, Andreas; Schön, Thomas B.; Solin, Arno; Särkkä, Simo

2016

ISBN: 9781479919635

On the LP-convergence of a Girsanov theorem based particle filter

Särkkä, Simo; Moulines, Eric

2016 in Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing (Institute of Electrical and Electronics Engineers Inc.)

ISBN: 9781479999880

ISSN: 1520-6149

Sigma-Point Filtering for Nonlinear Systems with Non-Additive Heavy-Tailed Noise

Tronarp, Filip; Hostettler, Roland; Särkkä, Simo

2016

ISBN: 978-0-9964527-4-8

Pedestrian Localization in Moving Platforms Using Dead Reckoning, Particle Filtering and Map Matching

Bojja, Jayaprasad; Collin, Jussi; Särkkä, Simo; Takala, Jarmo

2015

ISBN: 978-1-4673-6997-8

ISSN: 1520-6149

Split-Gaussian Particle Filter

Kokkala, Juho; Särkkä, Simo

2015

ISBN: 978-0-9928626-4-0

State Space Methods for Efficient Inference in Student-t Process Regression

Solin, Arno; Särkkä, Simo

2015

ISSN: 1938-7288

Adaptive Kalman Filtering and Smoothing for Gravitation Tracking in Mobile Systems

Särkkä, Simo; Tolvanen, Ville; Kannala, Juho; Rahtu, Esa

2015

ISBN: 978-1-4673-8402-5

Batch Continuous-Time Trajectory Estimation as Exactly Sparse Gaussian Process Regression.

Barfoot, Tim; Tong, Chi; Särkkä, Simo

2014

Expectation Maximization Based Parameter Estimation by Sigma-Point and Particle Smoothing

Kokkala, Juho; Solin, Arno; Särkkä, Simo

2014

On The L4 Convergence of Particle Filters with General Importance Distributions

Mbalawata, Isambi; Särkkä, Simo

2014

Weight Moment Conditions for L4 Convergence of Particle Filters for Unbounded Test Functions.

Mbalawata, Isambi; Särkkä, Simo

2014 in European Signal Processing Conference (IEEE)

ISBN: 978-0-9928626-1-9

ISSN: 2076-1465

Gaussian Quadratures for State Space Approximation of Scale Mixtures of Squared Exponential Covariance Functions

Solin, Arno; Särkkä, Simo

2014

Catching Physiological Noise: Comparison of DRIFTER in Image and k-Space

Solin, Arno; Särkkä, Simo; Nummenmaa, Aapo; Vehtari, Aki; Lin, Fa-Hsuan

2014

Explicit Link Between Periodic Covariance Functions and State Space Models

Solin, Arno; Särkkä, Simo

2014

RFID-based butterfly location sensing system

Särkkä, Simo; Viikari, Ville; Jaakkola, Kaarle

2014 in European Signal Processing Conference (European Signal Processing Conference, EUSIPCO)

ISBN: 9780992862619

ISSN: 2076-1465

On convergence and accuracy of state-space approximations of squared exponential covariance functions

Särkkä, Simo; Piche, Robert

2014 in IEEE International Workshop on Machine Learning for Signal Processing (European Signal Processing Conference, EUSIPCO)

ISBN: 978-1-4799-3694-6

ISSN: 2161-0363

Gaussian Process Quadratures in Nonlinear Sigma-Point Filtering and Smoothing

Särkkä, SImo; Hartikainen, Jouni; Svensson, Lennart; Sandblom, Fredrik

2014

Probabilistic Initiation and Termination for MEG Multiple Dipole Localization Using Sequential Monte Carlo Methods

Chen, Xi; Särkkä, Simo; Godsill, Simon

2013

ISBN: 978-605-86311-1-3

Timefrequency dynamics of brain connectivity by stochastic oscillator models and Kalman filtering

Solin, Arno; Glerean, Enrico; Särkkä, Simo

2013

Volumetric space-time structure of physiological noise in BOLD fMRI

Solin, Arno; Särkkä, Simo; Nummenmaa, Aapo; Vehtari, Aki; Auranen, Toni; Vanni, Simo; Lin, Fa-Hsuan

2013

Continuous-Space Gaussian Process Regression and Generalized Wiener Filtering with Application to Learning Curves

Särkkä, Simo; Solin, Arno

2013

Non-Linear Noise Adaptive Kalman Filtering via Variational Bayes

Särkkä, Simo; Hartikainen, Jouni

2013

State-Space Inference for Non-Linear Latent Force Models with Application to Satellite Orbit Prediction

Hartikainen, Jouni; Seppänen, Mari; Särkkä, Simo

2012

ISBN: 978-1-4503-1285-1

The Coloured Noise Expansion and Parameter Estimation of Diffusion Processes

Lyons, Simon M.J.; Storkey, Amos J; Särkkä, Simo

2012

ISSN: 1049-5258

Recursive Outlier-Robust Filtering and Smoothing for Nonlinear Systems Using the Multivariate Student-t Distribution

Piche, Robert; Särkkä, Simo; Hartikainen, Jouni

2012

Fourier-Hermite Rauch-Tung-Striebel Smoother

Sarmavuori, Juha; Särkkä, Simo

2012

ISBN: 978-1-4673-1068-0

Identification of Spatio-Temporal Oscillatory Signal Structure in Cerebral Hemodynamics Using DRIFTER.

Särkkä, S.; Solin, A.; Nummenmaa, A.; Vehtari, A.; Auranen, T.; Vanni, S.; Lin, F.-H.

2012

On Continuous-Discrete Cubature Kalman Filtering

Särkkä, Simo; Solin, Arno

2012

ISBN: 978-1-62276-229-3

A Backward-Simulation Based Rao-Blackwellized Particle Smoother for Conditionally Linear Gaussian Models

Särkkä, Simo; Bunch, Pete; Godsill, Simon J.

2012

ISBN: 978-1-62276-229-3

Infinite-Dimensional Kalman Filtering Approach to Spatio-Temporal Gaussian Process Regression

Särkkä, Simo; Hartikainen, Jouni

2012

ISSN: 1532-4435

Sequential Inference for Latent Force Models

Hartikainen, Jouni; Särkkä, Simo

2011

Sparse Spatio-Temporal Gaussian Processes with General Likelihoods

Hartikainen, Jouni; Riihimäki, Jaakko; Särkkä, Simo

2011

Learning Curves for Gaussian Processes via Numerical Cubature Integration

Särkkä, Simo

2011

Linear Operators and Stochastic Partial Differential Equations in Gaussian Process Regression

Särkkä, Simo

2011

Dynamical statistical modeling of physiological noise for fast BOLD fMRI

Särkkä, S.; Nummenmaa, A.; Solin, A.; Vehtari, A.; Witzel, T.; Auranen, T.; Vanni, S.; Hämäläinen, M.S.; Lin, F-H.

2011

Kalman Filtering and Smoothing Solutions to Temporal Gaussian Process Regression Models

Hartikainen, Jouni; Särkkä, Simo

2010

Sigma Point Methods in Optimal Smoothing of Non-Linear Stochastic State Space Models

Särkkä, Simo; Hartikainen, Jouni

2010

Prediction of ESTSP Competition Time Series by Unscented Kalman Filter and RTS Smoother

Särkkä, Simo; Vehtari, Aki; Lampinen, Jouko

2007

On Sequential Monte Carlo Sampling of Discretely Observed Stochastic Differential Equations

Särkkä, Simo

2006

Time series prediction by Kalman smoother with cross validated noise density

Särkkä, Simo; Vehtari, Aki; Lampinen, Jouko

2004 in IEEE International Joint Conference on Neural Networks (IJCNN) (IEEE)

ISBN: 0-7803-8359-1

ISSN: 1098-7576

Rao-Blackwellized Monte Carlo Data Association for Multiple Target Tracking

Särkkä, Simo; Vehtari, Aki; Lampinen, Jouko

2004

On MCMC sampling in Bayesian MLP neural networks

Vehtari, Aki; Särkkä, Simo; Lampinen, Jouko

2000 in IEEE International Joint Conference on Neural Networks (IJCNN) (IEEE Computer Society)

ISSN: 1098-7576

Non-refereed scientific articles

Unrefereed conference proceedings

The 10th annual MLSP competition: First place

Solin, Arno; Särkkä, Simo

2014

Scientific books (monographs)

Book

贝叶斯滤波与平滑 (Bayesian filtering and smoothing)

Särkkä, Simo

2015

ISBN: 978-7-118-10247-5

Bayesian Filtering and Smoothing

Särkkä, Simo

2013

ISBN: 9781107619289

Publications intended for professional communities

Published development or research report

Rao-Blackwellized Particle Filter for Tracking Unknown Number of Targets in Clutter

Särkkä, Simo; Vehtari, Aki; Lampinen, Jouko

2005

Probabilistic methods in multiple target tracking - Review and bibliography

Särkkä, Simo; Tamminen, Toni; Vehtari, Aki; Lampinen, Jouko

2004

Audiovisual material, ICT software

ICT programs or applications

FBM tools for Matlab 6.x, Version 1.0

Särkkä, Simo; Vehtari, Aki

2003

MCMC Diagnostics for Matlab 6.x

Särkkä, Simo; Vehtari, Aki

2003