Maximum likelihood estimation of Gaussian models with missing data -- Eight equivalent formulations

DOI10.1016/J.AUTOMATICA.2012.05.060zbMath1258.93105OpenAlexW2067226127MaRDI QIDQ1937468

Yanyan Li

Publication date: 1 March 2013

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2012.05.060

zbMATH Keywords

maximum likelihood estimationoptimization problemmissing dataexpectationGaussian modelsARMAX modelsmaximization algorithmnonlinear least squares formulations

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24)

Related Items (2)

Maximum likelihood estimation of linear SISO models subject to missing output data and missing input data ⋮ Maximum likelihood interval-varying recursive least squares identification for output-error autoregressive systems with scarce measurements

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Two nonlinear optimization methods for black box identification compared
• On the convergence properties of the EM algorithm
• Instrumental variable methods for system identification
• Manifestations of the Schur complement
• Maximum likelihood estimation of linear SISO models subject to missing output data and missing input data
• Identification of ARX-models subject to missing data
• The EM Algorithm and Extensions, 2E
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• A variable projection method for solving separable nonlinear least squares problems
• Separable nonlinear least squares: the variable projection method and its applications
• Frequency domain system identification with missing data

This page was built for publication: Maximum likelihood estimation of Gaussian models with missing data -- Eight equivalent formulations