Symbolic computation of Fisher information matrices for parametrized state-space systems

DOI10.1016/S0005-1098(99)00004-7MaRDI QIDQ1301455zbMATH OpenOpenAlexFDO

Authors Ralf Peeters, B. Hanzon

Publication date 25 April 2000

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0005-1098(99)00004-7

zbMATH Keywords

delaysQR factorizationrecursive least-squares problemssingular state-transition matricessquare-root information filterstate constraints

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12) Least squares and related methods for stochastic control systems (93E24)

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Cited in

(8)

• Square-root information filtering and fixed-interval smoothing with singularities
• A Schur complement approach for computing subcovariance matrices arising in a road safety measure modelling
• The Fisher information matrix for linear systems.
• On computing the expected Fisher information matrix for state-space model parameters
• A unified square-root approach for the score and Fisher information matrix computation in linear dynamic systems
• On fault detectability and isolability
• A Note on the Information Matrix for Multiplicative Seasonal Autoregressive Moving-Average Models
• A two-variable approach to solve the polynomial Lyapunov equation

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