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...
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| Médium: | Conference item |
| Jazyk: | English |
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IEEE
2019
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Asymptotic properties of recursive particle maximum likelihood estimation
Vydáno 2020
Journal article