An EM algorithm for singular state space models: II

Proceedings of the IEEE Conference on Decision and Control

Volumn 4, Issue , 2004, Pages 3611-3612

  Solo, Victor ^a  

^a UNIVERSITY OF MICHIGAN   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ALGEBRA; CONVERGENCE OF NUMERICAL METHODS; MATHEMATICAL MODELS; MAXIMUM LIKELIHOOD ESTIMATION; OPTIMIZATION; PARAMETER ESTIMATION; PERTURBATION TECHNIQUES; STATE SPACE METHODS;

ELEMENTARY ALGEBRA; EXPECTATION MAXIMIZATION (EM) ALGORITHMS; NOISE COVARIANCE; STATE SPACE MODELS;

ALGORITHMS;

EID: 14244251080     PISSN: 07431546     EISSN: 25762370     Source Type: Conference Proceeding    
DOI: 10.1109/cdc.2004.1429288     Document Type: Conference Paper

References (7)

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3. R. Engle and M. Watson, "Alternative algorithms for the estimation of dynamic factor and MIMIC and varying coefficient regression models", Jl. Econometrics, vol.23, pp. 385-400, 1983.
4. S Gibson and B Ninness, "The relationship between state space subspace identification methods and the EM algorithm", in Proc 39th IEEE CDC Sydney Australia. IEEE, 2000.
5. V Solo, "An EM algorithm for singular state space models", in Proc IEEE CDC, Honolulu, Hawaii. IEEE, 2003, pp. -.
6. K Lange, "A gradient algorithm locally equivalent to the EM algorithm", M Roy Sta Soc B, vol.57, pp. 425-437, 1995.
7. C.F. Wu, "On the convergence of properties of the em algorithm", Ann. Stat., vol.11, pp. p.95-103, 1983.