On-line estimation of dynamic shock-error models based on the Kullback Leibler information measure

DOI10.1109/9.284909zbMATH Open0818.93073OpenAlexW2066749907MaRDI QIDQ4307451FDOQ4307451

Authors: Vikram Krishnamurthy 

Publication date: 28 September 1994

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

Full work available at URL: https://doi.org/10.1109/9.284909

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zbMATH Keywords

expectation-maximization algorithmKalman filteringstate-space representationon-line algorithmsdynamic shock-error modelslog likelihoodGauss-Newton schemegradient-based schemeKullback Leibler information measure

Mathematics Subject Classification ID

Measures of information, entropy (94A17) Identification in stochastic control theory (93E12)

Cited In (5)

• Identification of ARX and ARARX models in the presence of input and output noises
• Parameter identifiability with Kullback-Leibler information divergence criterion
• Maximum likelihood estimation of the dynamic shock-error model
• Estimation of quantized linear errors-in-variables models
• Sequential algorithms for parameter estimation based on the Kullback-Leibler information measure

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