Sequential algorithms for parameter estimation based on the Kullback-Leibler information measure

DOI10.1109/29.60089zbMath0699.62079OpenAlexW2151413156MaRDI QIDQ3477842

Alan V. Oppenheim, Ehud Weinstein, Meir Feder

Publication date: 1990

Published in: IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/a667f925848f329cc3952781ddb890db347d9131

zbMATH Keywords

iterative algorithmsincomplete datasequential algorithmsidentification of finite impulse response systemsmaximizing the Kullback-Leibler information

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12) Stochastic approximation (62L20)

Related Items (7)

Almost sure convergence of Titterington's recursive estimator for mixture models ⋮ Parameter identifiability with Kullback-Leibler information divergence criterion ⋮ Maximum likelihood estimation of linear SISO models subject to missing output data and missing input data ⋮ An online sequential algorithm for the estimation of transition probabilities for jump Markov linear systems ⋮ RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME ⋮ An iterative procedure for the estimation of drift and diffusion coefficients of langevin processes ⋮ Asymptotically efficient recursive estimation for incomplete data models using the observed information.

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