An improved log-likelihood gradient for continuous-time stochastic systems with deterministic input (Q4896792)
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scientific article; zbMATH DE number 937928
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| English | An improved log-likelihood gradient for continuous-time stochastic systems with deterministic input |
scientific article; zbMATH DE number 937928 |
Statements
An improved log-likelihood gradient for continuous-time stochastic systems with deterministic input (English)
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3 December 1996
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Kalman filter
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covariance operator
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Radon-Nikodym derivative
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Hamiltonian form
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smoother
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0.896504282951355
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0.8149612545967102
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0.7832692861557007
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