Maximum likelihood estimation using square root information filters

DOI10.1109/9.61004zbMATH Open0723.93071OpenAlexW2126097515MaRDI QIDQ5202129FDOQ5202129

Authors: Mitchell R. Belzer, James S. Vandergraft, David W. Porter, Gerald J. Bierman 

Publication date: 1990

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/9.61004

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zbMATH Keywords

Fisher information matrixmethod of maximum likelihoodKalman filter mechanization

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)

Cited In (24)

• Maximum likelihood state and parameter estimation via derivatives ofthe V-Lambda filter
• State and parameter estimation in stochastic dynamical models
• Estimating the state in stiff continuous-time stochastic systems within extended Kalman filtering
• Constructing numerically stable Kalman filter-based algorithms for gradient-based adaptive filtering
• Practical implementation of extended Kalman filtering in chemical systems with sparse measurements
• A unified square-root approach for the score and Fisher information matrix computation in linear dynamic systems
• A general approach to constructing parameter identification algorithms in the class of square root filters with orthogonal and \(J\)-orthogonal tranformations
• Accurate state estimation of stiff continuous-time stochastic models in chemical and other engineering
• Filter-order selection in adaptive maximum likelihood estimation
• Filtering the Maximum Likelihood for Multiscale Problems
• Maximum likelihood estimation for long-range target tracking using passive sonar measurements
• Stochastic volatility models for exchange rates and their estimation using quasi-maximum-likelihood methods: an application to the South African Rand
• Maximum likelihood recursive state estimation: an incomplete-information based approach
• On efficient parametric identification methods for linear discrete stochastic systems
• Computing the gradient of the auxiliary quality functional in the parametric identification problem for stochastic systems
• Differentiating matrix orthogonal transformations
• On scalarized calculation of the likelihood function in array square-root filtering algorithms
• Verfahren zur Vermeidung numerischer Fehler bei Parameterschätzung und Optimalfilterung / A method for avoiding numerical erros with parameter estimation and optimal filtering
• Robust parametric identification procedure of stochastic nonlinear continuous-discrete systems
• Maximum likelihood estimation of linear stochastic systems in the class of sequential square-root orthogonal filtering methods
• High-order accurate continuous-discrete extended Kalman filter for chemical engineering
• Maximum likelihood estimation via the extended covariance and combined square-root filters
• Score Evaluation Within the Extended Square-Root Information Filter
• On the computation of derivatives within LD factorization of parametrized matrices

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