Marginalising posterior covariance matrix with application to Bayesian operational modal analysis

• Main Author: Au, Siu-Kui
• Other Authors: School of Civil and Environmental Engineering
• Format: Article
• Language: English
• Published: 2024
• Subjects: Engineering; Maximum likelihood; BAYOMA; Block matrix inverse; Fisher information matrix; Marginalisation
• Online Access: https://hdl.handle.net/10356/180891
• Institution: Nanyang Technological University

Consider making Bayesian inference of vector-valued model parameters {x,y} based on observed data D. When the ‘posterior’ (i.e., given data) probability density function (PDF) of {x,y} has a centralised shape, it can be approximated in the spirit of Laplace integral asymptotics by a Gaussian PDF cen...