Identification of time-delay Markov jump autoregressive exogenous systems with expectation-maximization algorithm

DOI10.1002/ACS.2807MaRDI QIDQ4634734zbMATH OpenOpenAlexFDO

Authors Xin Chen, Shunyi Zhao, Fei Liu

Publication date 11 April 2018

Published in International Journal of Adaptive Control and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/acs.2807

zbMATH Keywords

EM algorithmparameter identificationMarkov jump systemunknown constant time delay

Mathematics Subject Classification ID

Stochastic programming (90C15) Identification in stochastic control theory (93E12)

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• Maximum likelihood gradient identification for multivariate equation‐error moving average systems using the multi‐innovation theory
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• Variational Bayesian identification for bilinear state space models with Markov‐switching time delays
• Expectation maximization identification algorithm for time-delay two-dimensional systems
• Identification of switched Markov autoregressive exogenous systems with hidden switching state
• Identification of jump Markov autoregressive exogenous systems with missing measurements
• Expectation-maximization-based infrared target tracking with time-varying extinction coefficient identification
• Parameter estimation for time-delay systems based on the frequency responses and harmonic balance methods
• Accurate and fast parameter identification of conditionally Gaussian Markov jump linear system with input control
• State space model identification of multirate processes with time-delay using the expectation maximization

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