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We use statistical learning methods to construct an adaptive state estimator for nonlinear stochastic systems. Optimal state estimation, in the form of a Kalman filter, requires knowledge of the system's process and measurement uncertainty. We propose that these uncertainties can be estimated from (conditioned on) past observed data, and without making any assumptions of the system's prior distribution. The system's prior distribution at each time step is constructed from an ensemble ofdoi:10.1109/cdc.2014.7039700 dblp:conf/cdc/BuschM14 fatcat:hj4atrq5ynhpdeaotmlby5vmkm