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: | , |
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格式: | Conference item |
語言: | English |
出版: |
IEEE
2019
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總結: | 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 numerically. In [17], a recursive maximum likelihood algorithm based on a particle approximation to the optimal filter derivative has been proposed and studied through numerical simulations. Here, this algorithm and its asymptotic behavior are analyzed theoretically. |
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