Derivative computations for the log likelihood function

DOI10.1109/TAC.1982.1102834zbMATH Open0471.93066MaRDI QIDQ3926469FDOQ3926469

Authors: Alok Kumar, David A. Wilson 

Publication date: 1982

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

zbMATH Keywords

identificationlog likelihood functionderivative computationsdiscrete, linear time-invariant Gaussian systems

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12) Algebraic methods (93B25)

Cited In (4)

• Analytic derivatives for estimation of linear dynamic models
• Optimal reduction of linear systems for the least-squares control problem
• A unified square-root approach for the score and Fisher information matrix computation in linear dynamic systems
• Numerical computation of asymptotic covariance matrix of the gaussian estimators for vector arrla models

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