Computational aspects of maximum likelihood estimation and reduction in sensitivity function calculations

Cited in

(45)

Maximum likelihood estimation via the extended covariance and combined square-root filters
On scalarized calculation of the likelihood function in array square-root filtering algorithms
Model reduction and controller synthesis in the presence of parameter uncertainty
Identification of non-minimum phase linear stochastic systems
Frequency domain versus time domain methods in system identification
Parameter estimation for continuous-time models - a survey
Analysis of a general recursive prediction error identification algorithm
Identification by a combined smoothing nonlinear programming algorithm
Evaluation of four methods for computing parameter sensitivities in dynamic system models
Systems of seemingly unrelated regression equations with time varying coefficients -- an interplay of Kalman filtering, scoring, EM- and MINQUE-method
An algebraic representation of parameter sensitivity in linear time- invariant systems
The kriged Kalman filter. (With discussion)
Multiscale adaptive estimation of the conductivity field using pump test data
Robust locally optimal filters: Kalman and Bayesian estimation theory
On the computation of derivatives within LD factorization of parametrized matrices
On identification and adaptive estimation for systems with interrupted observations
An algorithm for estimating parameters of state-space models
Dual time-frequency domain system identification
SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation
A unified square-root approach for the score and Fisher information matrix computation in linear dynamic systems
A general approach to constructing parameter identification algorithms in the class of square root filters with orthogonal and \(J\)-orthogonal tranformations
A Bayesian tutorial for data assimilation
A comparison between parallel algorithms for system parameter estimation in dynamic linear models
Constructing numerically stable Kalman filter-based algorithms for gradient-based adaptive filtering
Parametric Identification Based on the Adaptive Unscented Kalman Filter
State-Space Models: From the EM Algorithm to a Gradient Approach
Analytical uses of Kalman filtering in econometrics — A survey
Estimation and tests of hypotheses for the initial mean and covariance in the kalman filter model
A maximum likelihood identification method for stable autoregressive linear systems†
Some aspects of modern population mathematics
On efficient parametric identification methods for linear discrete stochastic systems
Generation of trajectory sensitivities: minimal-order realization
Extending the State-Space Model to Accommodate Missing Values in Responses and Covariates
Model error estimation using the expectation maximization algorithm and a particle flow filter
Stochastic volatility models for exchange rates and their estimation using quasi-maximum-likelihood methods: an application to the South African Rand
Large signal-to-noise ratio quantification in MLE for ARARMAX models
Robust parametric identification procedure of stochastic nonlinear continuous-discrete systems
AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
A square-root method for identifying the parameters of discrete-time linear stochastic systems with unknown input signals
Maximum likelihood estimation of linear stochastic systems in the class of sequential square-root orthogonal filtering methods
Estimation of parameterized spatio-temporal dynamic models
Multiple cause model with autocorrelated errors: a gain in efficiency analysis
Estimation of a general linear model with an unobservable stochastic variable
Differentiating matrix orthogonal transformations
DOA estimator performance assessment in the pre-asymptotic domain using the likelihood principle

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