Approximate Bayesian Smoothing with Unknown Process and Measurement   Noise Covariances
  We present an adaptive smoother for linear state-space models with unknown process and measurement noise covariances. The proposed method utilizes the variational Bayes technique to perform approximate inference. The resulting smoother is computationally efficient, easy to implement, and can be applied to high dimensional linear systems. The performance of the algorithm is illustrated on a target tracking example. 
Tohid Ardeshiri, Emre \"Ozkan and Umut Orguner, Fredrik Gustafsson
cs.SY