scientific article; zbMATH DE number 1971726

MaRDI QIDQ4421373zbMATH OpenFDO

Authors Patrick Florchinger

Publication date 27 August 2003

zbMATH Keywords

expectation maximization algorithmlinear filteringparameter estimation

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

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Cited in

(23)

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• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
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• Maximum likelihood in statistical estimation of dynamic systems: Decomposition algorithm and simulation results
• The interval versions of the Kalman filter and the EM algorithm
• Tuned iterated filtering
• EM-based recursive estimation of channel parameters
• A numerically efficient implementation of the expectation maximization algorithm for state space models
• Filtering and smoothing for a multi-targets system
• ESTIMATION OF THE COEFFICIENTS OF A MULTIVARIATE LINEAR FILTER USING THE INNOVATIONS ALGORITHM
• Exact Finite-Dimensional Filters for Maximum Likelihood Parameter Estimation of Continuous-time Linear Gaussian Systems
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• Conditional Moment Generating Functions for Integrals and Stochastic Integrals
• New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models
• scientific article; zbMATH DE number 877663 (Why is no real title available?)
• Maximum likelihood estimation using square root information filters
• EM-based adaptive divided difference filter for nonlinear system with multiplicative parameter
• Filtering and the EM-Algorithm for the Markovian Arrival Process
• Exact filters for Newton-Raphson parameter estimation algorithms for continuous-time partially observed stochastic systems
• Parameter estimation for nonlinear immune response model using EM
• Filtering market signals: dynamic asset allocation with momentum and hidden mean reversion
• A regularized particle filter EM algorithm based on Gaussian randomization with an application to plant growth modeling
• MLE for partially observed diffusions: Direct maximization vs. the EM algorithm

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