Exact finite-dimensional filters for maximum likelihood parameter estimation of continuous-time linear Gaussian systems

SIAM Journal on Control and Optimization

Volumn 35, Issue 6, 1997, Pages 1908-1923

  Elliott, Robert J ^a   Krishnamurthy, Vikram ^b  

^a UNIVERSITY OF ALBERTA   (Canada)

^b UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Expectation maximization algorithm; Finite dimensional filters; Kalman filter; Parameter estimation; Stochastic systems

Indexed keywords

ALGORITHMS; MATHEMATICAL MODELS; PARAMETER ESTIMATION; STATE ESTIMATION; STATISTICAL METHODS; STOCHASTIC CONTROL SYSTEMS;

CONTINUOUS TIME LINEAR GAUSSIAN SYSTEMS; EXACT FINITE DIMENSIONAL FILTERS; EXPECTATION MAXIMIZATION ALGORITHM; MAXIMUM LIKELIHOOD PARAMETER ESTIMATION;

KALMAN FILTERING;

EID: 0031268222     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S036301299529255X     Document Type: Article

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