Asymptotic properties of recursive particle maximum likelihood estimation
Using stochastic gradient search and the optimal filter derivative, it is possible to perform recursive maximum likelihood estimation in a non-linear state-space model. As the optimal filter and its derivative are analytically intractable for such a model, they need to be approximated numerically. I...
| Główni autorzy: | , |
|---|---|
| Format: | Journal article |
| Język: | English |
| Wydane: |
IEEE
2020
|