Finite dimensional filters for maximum likelihood estimation of continuous-time linear Gaussian systems

TitleFinite dimensional filters for maximum likelihood estimation of continuous-time linear Gaussian systems
Publication TypeConference Paper
Year of Publication1997
AuthorsElliott, R. J., and V. Krishnamurthy
Conference NameDecision and Control, 1997., Proceedings of the 36th IEEE Conference on
Pagination4469 -4474 vol.5
Date Publisheddec.
Keywordscontinuous 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
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

URLhttp://dx.doi.org/10.1109/CDC.1997.649670
DOI10.1109/CDC.1997.649670

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