Asymptotic properties of recursive particle maximum likelihood estimation
Using stochastic gradient search and the optimal filter derivative, it is possible to perform recursive (i.e., online) 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...
| Main Authors: | , |
|---|---|
| 格式: | Conference item |
| 語言: | English |
| 出版: |
IEEE
2019
|