Browsing by Author "Logothetis, Andrew"
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Article
Bank filters for ML parameter estimation via the Expectation-Maximization algorithm: The continuous-time case
Charalambous, Charalambos D.; Logothetis, Andrew; Elliott, Robert J. (1998)In this paper we consider continuous-time partially observed systems in which the parameters are unknown. We employ conditional moment generating functions of integrals and stochastic integrals to derive new maximum-likelihood ...
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Conference Object
Exact filters for Newton-Raphson parameter estimation algorithms for continuous-time partially observed stochastic systems
Charalambous, Charalambos D.; Logothetis, Andrew; Hibey, Joseph L. (IEEE, 1999)This paper presents explicit finite-dimensional filters for implementing Newton-Raphson (NR) parameter estimation algorithms. The models which exhibit nonlinear parameter dependence are stochastic, continuous-time and ...