Maximum likelihood parameter estimation from incomplete data via the sensitivity equations: the continuous-time case
dc.contributor.author | Charalambous, Charalambos D. | en |
dc.contributor.author | Logothetis, A. | en |
dc.creator | Charalambous, Charalambos D. | en |
dc.creator | Logothetis, A. | en |
dc.date.accessioned | 2019-04-08T07:45:17Z | |
dc.date.available | 2019-04-08T07:45:17Z | |
dc.date.issued | 2000 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/43103 | |
dc.description.abstract | This paper is concerned with maximum likelihood (ML) parameter estimation of continuous-time nonlinear partially observed stochastic systems, via the expectation maximization (EM) algorithm. It is shown that the EM algorithm can be executed efficiently, provided the unnormalized conditional density of nonlinear filtering is either explicitly solvable or numerically implemented. The methodology exploits the relationships between incomplete and complete data, log-likelihood and its gradient. | en |
dc.source | IEEE Transactions on Automatic Control | en |
dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-0034187409&doi=10.1109%2f9.855553&partnerID=40&md5=15e8558d860cb551a140ae9cc800bd49 | |
dc.subject | Problem solving | en |
dc.subject | Maximum likelihood estimation | en |
dc.subject | Algorithms | en |
dc.subject | Markov processes | en |
dc.subject | Nonlinear filtering | en |
dc.subject | Parameter estimation | en |
dc.subject | Continuous time stochastic systems | en |
dc.subject | Expectation maximization algorithm | en |
dc.subject | Numerical methods | en |
dc.subject | Sampled data control systems | en |
dc.subject | Sensitivity equations | en |
dc.title | Maximum likelihood parameter estimation from incomplete data via the sensitivity equations: the continuous-time case | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1109/9.855553 | |
dc.description.volume | 45 | |
dc.description.issue | 5 | |
dc.description.startingpage | 928 | |
dc.description.endingpage | 934 | |
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 | IEEE Trans Autom Control | en |
dc.contributor.orcid | Charalambous, Charalambos D. [0000-0002-2168-0231] | |
dc.gnosis.orcid | 0000-0002-2168-0231 |
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