dc.contributor.author | Charalambous, Charalambos D. | en |
dc.contributor.author | Hibey, J. L. | en |
dc.creator | Charalambous, Charalambos D. | en |
dc.creator | Hibey, J. L. | en |
dc.date.accessioned | 2019-04-08T07:45:14Z | |
dc.date.available | 2019-04-08T07:45:14Z | |
dc.date.issued | 2001 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/43074 | |
dc.description.abstract | 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 partially observed. The implementation of the NR algorithm requires evaluation of the log-likelihood gradient and the Fisher information matrix. Fisher information matrices are important in bounding the estimation error from below, via the Cramer-Rao bound. The derivations are based on relations between incomplete and complete data, likelihood, gradient and Hessian likelihood functions, which are derived using Girsanov's measure transformations. © 2001 Elsevier Science B.V. All rights reserved. | en |
dc.source | Systems and Control Letters | en |
dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-0034905121&doi=10.1016%2fS0167-6911%2800%2900082-7&partnerID=40&md5=88e894d241412fa61271d67f23370742 | |
dc.subject | Mathematical models | en |
dc.subject | Kalman filter | en |
dc.subject | Algorithms | en |
dc.subject | Stochastic control systems | en |
dc.subject | Stochastic systems | en |
dc.subject | Kalman filtering | en |
dc.subject | Parameter estimation | en |
dc.subject | Control system analysis | en |
dc.subject | Computational complexity | en |
dc.subject | Fisher information | en |
dc.subject | Hessian | en |
dc.subject | Log-likelihood | en |
dc.subject | Newton-raphson | en |
dc.subject | Newton-raphson parameter estimation | en |
dc.subject | Scoring | en |
dc.title | Exact filters for Newton-Raphson parameter estimation algorithms for continuous-time partially observed stochastic systems | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1016/S0167-6911(00)00082-7 | |
dc.description.volume | 42 | |
dc.description.issue | 2 | |
dc.description.startingpage | 101 | |
dc.description.endingpage | 115 | |
dc.author.faculty | Πολυτεχνική Σχολή / Faculty of Engineering | |
dc.author.department | Τμήμα Ηλεκτρολόγων Μηχανικών και Μηχανικών Υπολογιστών / Department of Electrical and Computer Engineering | |
dc.type.uhtype | Article | en |
dc.source.abbreviation | Syst Control Lett | en |
dc.contributor.orcid | Charalambous, Charalambos D. [0000-0002-2168-0231] | |
dc.gnosis.orcid | 0000-0002-2168-0231 | |