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

DOI10.1134/S0005117911040084zbMath1235.93242OpenAlexW2064436091MaRDI QIDQ766056

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) Identification in stochastic control theory (93E12) Stochastic systems in control theory (general) (93E03)

Related Items (4)

Differentiating matrix orthogonal transformations ⋮ Maximum likelihood gradient-based iterative estimation algorithm for a class of input nonlinear controlled autoregressive ARMA systems ⋮ Confidence estimation of autoregressive parameters based on noisy data ⋮ A general approach to constructing parameter identification algorithms in the class of square root filters with orthogonal and \(J\)-orthogonal tranformations

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Maximum likelihood estimation via the extended covariance and combined square-root filters
• On scalarized calculation of the likelihood function in array square-root filtering algorithms
• Factorization methods for discrete sequential estimation
• Generalized autoregressive conditional heteroscedasticity
• Numerical methods for solving linear least squares problems
• Extension of square-root filtering to include process noise
• Repeated surveys and the Kalman filter
• Numerical aspects of different Kalman filter implementations
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Computational aspects of maximum likelihood estimation and reduction in sensitivity function calculations
• Square-root algorithms for least-squares estimation
• Some new algorithms for recursive estimation in constant linear systems
• New square-root algorithms for Kalman filtering
• Likelihood Gradient Evaluation Using Square-Root Covariance Filters
• Maximum likelihood estimation using square root information filters
• Evaluation of likelihood functions for Gaussian signals

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