Filter-order selection in adaptive maximum likelihood estimation

DOI10.1109/TIT.1984.1056891zbMATH Open0546.62068MaRDI QIDQ3336552FDOQ3336552

Authors: H. Clergeot 

Publication date: 1984

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

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zbMATH Keywords

parameter estimationmaximum likelihoodadaptive filteringKullback informationAkaike's criterionfilter-order selectionKalman filtering equation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Robustness and adaptive procedures (parametric inference) (62F35) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Cited In (5)

• Partial likelihood for online order selection
• On the localized estimators and generalized Akaike's criteria
• Asymptotic bootstrap corrections of AIC for linear regression models
• Adaptive rank order based filters
• Model selection and Akaike's information criterion (AIC): The general theory and its analytical extensions

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