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

DOI10.1109/9.284909MaRDI QIDQ4307451zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Maximum likelihood estimation of the dynamic shock-error model
• Minimum model error estimation for poorly modeled dynamic systems
• Estimation of dynamic econometric models with errors in variables
• scientific article; zbMATH DE number 5633833
• Sequential algorithms for parameter estimation based on the Kullback-Leibler information measure

Cited in

(6)

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

This page was built for publication: On-line estimation of dynamic shock-error models based on the Kullback Leibler information measure

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4307451)