Computational aspects of maximum likelihood estimation and reduction in sensitivity function calculations

From MaRDI portal
Publication:4042971

DOI10.1109/TAC.1974.1100714zbMath0291.93069OpenAlexW2082068808MaRDI QIDQ4042971

Raman K. Mehra, Narendra K. Gupta

Publication date: 1974

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

Full work available at URL: https://doi.org/10.1109/tac.1974.1100714



Related Items

Robust parametric identification procedure of stochastic nonlinear continuous-discrete systems, Identification of non-minimum phase linear stochastic systems, A Bayesian tutorial for data assimilation, Unnamed Item, Estimation of parameterized spatio-temporal dynamic models, Robust locally optimal filters: Kalman and Bayesian estimation theory, An algorithm for estimating parameters of state-space models, Dual time-frequency domain system identification, Multiple cause model with autocorrelated errors: a gain in efficiency analysis, Estimation of a general linear model with an unobservable stochastic variable, Frequency domain versus time domain methods in system identification, Parameter estimation for continuous-time models - a survey, Analysis of a general recursive prediction error identification algorithm, Differentiating matrix orthogonal transformations, Analytical uses of Kalman filtering in econometrics — A survey, Identification by a combined smoothing nonlinear programming algorithm, Stochastic volatility models for exchange rates and their estimation using quasi-maximum-likelihood methods: an application to the South African Rand, On the computation of derivatives within LD factorization of parametrized matrices, On efficient parametric identification methods for linear discrete stochastic systems, Evaluation of four methods for computing parameter sensitivities in dynamic system models, SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation, A unified square-root approach for the score and Fisher information matrix computation in linear dynamic systems, Systems of seemingly unrelated regression equations with time varying coefficients -- an interplay of Kalman filtering, scoring, EM- and MINQUE-method, Extending the State-Space Model to Accommodate Missing Values in Responses and Covariates, AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM, A general approach to constructing parameter identification algorithms in the class of square root filters with orthogonal and \(J\)-orthogonal tranformations, An algebraic representation of parameter sensitivity in linear time- invariant systems, DOA estimator performance assessment in the pre-asymptotic domain using the likelihood principle, Constructing numerically stable Kalman filter-based algorithms for gradient-based adaptive filtering, Maximum likelihood estimation via the extended covariance and combined square-root filters, Parametric Identification Based on the Adaptive Unscented Kalman Filter, Maximum likelihood estimation of linear stochastic systems in the class of sequential square-root orthogonal filtering methods, Generation of trajectory sensitivities: minimal-order realization, Large signal-to-noise ratio quantification in MLE for ARARMAX models, Model Error Estimation Using the Expectation Maximization Algorithm and a Particle Flow Filter, Estimation and tests of hypotheses for the initial mean and covariance in the kalman filter model, On identification and adaptive estimation for systems with interrupted observations, A maximum likelihood identification method for stable autoregressive linear systems†, On scalarized calculation of the likelihood function in array square-root filtering algorithms, The kriged Kalman filter. (With discussion), Some aspects of modern population mathematics, State-Space Models: From the EM Algorithm to a Gradient Approach, Multiscale adaptive estimation of the conductivity field using pump test data, Model reduction and controller synthesis in the presence of parameter uncertainty