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...
| Autores principales: | , |
|---|---|
| Formato: | Conference item |
| Lenguaje: | English |
| Publicado: |
IEEE
2019
|
Search Result 1
Asymptotic properties of recursive particle maximum likelihood estimation
Publicado 2020
Journal article