EM algorithm for analysing systems with time-varying parameters

DOI10.1080/00207178808906023MaRDI QIDQ3777932zbMATH OpenOpenAlexFDO

Authors P. F. Davis

Publication date 1988

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207178808906023

zbMATH Keywords

time-dependent

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Analysis of variance and covariance (ANOVA) (62J10) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10)

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Cited in

(4)

• EM-based recursive estimation of channel parameters
• Estimation on a GAR(1) Process by the EM Algorithm
• Multiple model approach to linear parameter varying time-delay system identification with EM algorithm
• Further results on a modified EM algorithm for parameter estimation in linear models with time-dependent autoregressive and t-distributed errors

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