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...

Полное описание

Библиографические подробности
Главные авторы:	Tadic, VZB, Doucet, A
Формат:	Conference item
Язык:	English
Опубликовано:	IEEE 2019

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