New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models

DOI10.1109/9.763210zbMath0959.93055OpenAlexW2115564019MaRDI QIDQ4506764

Vikram Krishnamurthy, Robert J. Elliott

Publication date: 17 October 2000

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/b80a97cec230da49dbdecfbe7d73d5c298bb135d

zbMATH Keywords

maximum likelihood estimation hidden Markov models finite-dimensional filters expectation maximization

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)

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