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...

Bibliográfalaš dieđut
Váldodahkkit:	Tadic, VZB, Doucet, A
Materiálatiipa:	Conference item
Giella:	English
Almmustuhtton:	IEEE 2019

Geahča maid

Asymptotic properties of recursive particle maximum likelihood estimation
Dahkki: Tadic, VZB, et al.
Almmustuhtton: (2020)

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Bias of particle approximations to optimal filter derivative
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Almmustuhtton: (2021)

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Stability of optimal filter higher-order derivatives
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Fast, Asymptotically Efficient, Recursive Estimation in a Riemannian Manifold
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Bounds for the normal approximation of the maximum likelihood estimator
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Application of asymptotic expansions for maximum likelihood estimators errors to gravitational waves from binary mergers: The single interferometer case
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Maximum Likelihood Estimation for the Fractional Vasicek Model
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Maximum Likelihood Estimation of Seismic Impulse Response
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