Maximum likelihood estimation of linear stochastic systems in the class of sequential square-root orthogonal filtering methods

DOI10.1134/S0005117911040084MaRDI QIDQ766056zbMATH OpenOpenAlexFDO

Authors M. V. Kulikova

Publication date 23 March 2012

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0005117911040084

zbMATH Keywords

parametric identificationdiscrete Kalman filterlinear discrete stochastic systems

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05) Stochastic systems in control theory (general) (93E03) Identification in stochastic control theory (93E12)

Recommendations

• Orthogonal least-squares parameter estimation algorithms for non-linear stochastic systems
• Maximum likelihood estimation via the extended covariance and combined square-root filters
• Exact Finite-Dimensional Filters for Maximum Likelihood Parameter Estimation of Continuous-time Linear Gaussian Systems
• The filtering based maximum likelihood recursive least squares estimation for multiple-input single-output systems
• Maximum likelihood estimation for the reflected stochastic linear system with a large signal
• scientific article; zbMATH DE number 179176
• Orthogonal parameter estimation algorithm for non-linear stochastic systems
• Optimal estimation of linear discrete-time systems with stochastic parameters

Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Computational aspects of maximum likelihood estimation and reduction in sensitivity function calculations
• Evaluation of likelihood functions for Gaussian signals
• Extension of square-root filtering to include process noise
• Factorization methods for discrete sequential estimation
• Generalized autoregressive conditional heteroscedasticity
• Likelihood Gradient Evaluation Using Square-Root Covariance Filters
• Maximum likelihood estimation using square root information filters
• Maximum likelihood estimation via the extended covariance and combined square-root filters
• New square-root algorithms for Kalman filtering
• Numerical aspects of different Kalman filter implementations
• Numerical methods for solving linear least squares problems
• On scalarized calculation of the likelihood function in array square-root filtering algorithms
• Repeated surveys and the Kalman filter
• Some new algorithms for recursive estimation in constant linear systems
• Square-root algorithms for least-squares estimation
• The pricing of options and corporate liabilities

Cited in

(8)

• Confidence estimation of autoregressive parameters based on noisy data
• Sequential maximum correntropy Kalman filtering
• A general approach to constructing parameter identification algorithms in the class of square root filters with orthogonal and \(J\)-orthogonal tranformations
• On efficient parametric identification methods for linear discrete stochastic systems
• Differentiating matrix orthogonal transformations
• Maximum likelihood gradient-based iterative estimation algorithm for a class of input nonlinear controlled autoregressive ARMA systems
• Two-stage gradient-based iterative algorithms for the fractional-order nonlinear systems by using the hierarchical identification principle
• Maximum likelihood estimation via the extended covariance and combined square-root filters

This page was built for publication: Maximum likelihood estimation of linear stochastic systems in the class of sequential square-root orthogonal filtering methods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q766056)