@conference {Elliott1997Finite-dimensio,
title = {Finite dimensional filters for maximum likelihood estimation of continuous-time linear Gaussian systems},
booktitle = {Decision and Control, 1997., Proceedings of the 36th IEEE Conference on},
volume = {5},
year = {1997},
month = {dec.},
pages = {4469 -4474 vol.5},
abstract = {We derive a new class of finite dimensional filters for integrals and stochastic integrals of moments of the state for continuous-time linear Gaussian systems. Apart from being of significant mathematical interest, these new filters can be used with the expectation maximization algorithm to yield maximum likelihood estimates of the model parameters},
keywords = {continuous time systems, continuous-time systems, expectation maximization algorithm, filtering theory, finite dimensional filters, Kalman filter, Kalman filters, linear Gaussian systems, maximum likelihood estimation, parameter estimation, probability, probability space, stochastic integrals, stochastic systems},
doi = {10.1109/CDC.1997.649670},
url = {http://dx.doi.org/10.1109/CDC.1997.649670},
author = {Elliott, R. J. and Krishnamurthy, V.}
}