Recursive Maximum Likelihood Identification of Jump Markov Nonlinear Systems

DOI10.1109/TSP.2014.2385039zbMath1394.94438arXiv1312.0781MaRDI QIDQ4579725

Fredrik Lindsten, Emre Özkan, Fredrik Gustafsson, Carsten Fritsche

Publication date: 22 August 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.0781

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Identification of jump Markov autoregressive exogenous systems with missing measurements ⋮ RATING TRANSITIONS FORECASTING: A FILTERING APPROACH ⋮ A randomized method for the identification of switched NARX systems ⋮ A novel system identification algorithm for nonlinear Markov jump system ⋮ Estimation of jump Box-Jenkins models ⋮ Robust identification of linear ARX models with recursive EM algorithm based on Student's t-distribution ⋮ The maximum likelihood least squares based iterative estimation algorithm for bilinear systems with autoregressive moving average noise ⋮ Mode separability-based state estimation for uncertain constrained dynamic systems ⋮ Online identification of time‐delay jump Markov autoregressive exogenous systems with recursive expectation‐maximization algorithm ⋮ Recursive identification for multivariate autoregressive equation-error systems with autoregressive noise

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