Asymptotic Properties of Recursive Particle Maximum Likelihood Estimation

DOI10.1109/TIT.2020.3047761MaRDI QIDQ5001487zbMATH OpenOpenAlexFDO

Authors Vladislav Tadić, Arnaud Doucet

Publication date 22 July 2021

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tit.2020.3047761

zbMATH Keywords

number of particlesrecursive maximum likelihood algorithmupper bounds on estimation error

Mathematics Subject Classification ID

Point estimation (62F10) Sequential estimation (62L12) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(4)

• Maximum likelihood recursive state estimation using the expectation maximization algorithm
• Asymptotic properties of particle filter-based maximum likelihood estimators for state space models
• Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement
• Joint online parameter estimation and optimal sensor placement for the partially observed stochastic advection-diffusion equation

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