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

DOI10.1109/9.284909zbMath0818.93073OpenAlexW2066749907MaRDI QIDQ4307451

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

Kalman filteringon-line algorithmsexpectation-maximization algorithmstate-space representationdynamic shock-error modelslog likelihoodGauss-Newton schemegradient-based schemeKullback Leibler information measure

Mathematics Subject Classification ID

Related Items (3)

Identification of ARX and ARARX models in the presence of input and output noises ⋮ Estimation of quantized linear errors-in-variables models ⋮ Parameter identifiability with Kullback-Leibler information divergence criterion

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