Derivative computations for the log likelihood function

DOI10.1109/TAC.1982.1102834MaRDI QIDQ3926469zbMATH OpenFDO

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

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