Asymptotic properties of recursive particle maximum likelihood estimation

Asymptotic properties of recursive particle maximum likelihood estimation

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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...

書誌詳細
主要な著者:	Tadic, VZB, Doucet, A
フォーマット:	Conference item
言語:	English
出版事項:	IEEE 2019

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