Online Expectation-Maximization type algorithms for parameter estimation in general state space models
In this paper we present new online algorithms to estimate static parameters in nonlinear non Gaussian state space models. These algorithms rely on online Expectation-Maximization (EM) type algorithms. Contrary to standard Sequential Monte Carlo (SMC) methods recently proposed in the literature, the...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2003
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