Bank filters for ML parameter estimation via the Expectation-Maximization algorithm: The continuous-time case
dc.contributor.author | Charalambous, Charalambos D. | en |
dc.contributor.author | Logothetis, Andrew | en |
dc.contributor.author | Elliott, Robert J. | en |
dc.creator | Charalambous, Charalambos D. | en |
dc.creator | Logothetis, Andrew | en |
dc.creator | Elliott, Robert J. | en |
dc.date.accessioned | 2019-04-08T07:45:17Z | |
dc.date.available | 2019-04-08T07:45:17Z | |
dc.date.issued | 1998 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/43104 | |
dc.description.abstract | 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 parameter estimates which are required in the implementation of the Expectation-Maximization algorithm. Each parameter is estimated by a bank of Kalman filters consisting of four statistics; two are the Kalman filter statistics while the remaining two have the structure of the Kalman filter driven by the innovations process. | en |
dc.source | Proceedings of the IEEE Conference on Decision and Control | en |
dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032258046&partnerID=40&md5=7d0bc7421343ba10a523c6882f0f1339 | |
dc.subject | Maximum likelihood estimation | en |
dc.subject | Optimization | en |
dc.subject | Random processes | en |
dc.subject | Algorithms | en |
dc.subject | Integral equations | en |
dc.subject | Kalman filtering | en |
dc.subject | Parameter estimation | en |
dc.subject | Functions | en |
dc.subject | Control system analysis | en |
dc.subject | Observability | en |
dc.subject | Control system synthesis | en |
dc.subject | Stochastic integrals | en |
dc.subject | Continuous-time partially observed systems | en |
dc.subject | Expectation-maximization algorithms | en |
dc.title | Bank filters for ML parameter estimation via the Expectation-Maximization algorithm: The continuous-time case | en |
dc.type | info:eu-repo/semantics/article | |
dc.description.volume | 2 | |
dc.description.issue | Journal Article | en |
dc.description.startingpage | 2317 | |
dc.description.endingpage | 2322 | |
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 | Proc IEEE Conf Decis Control | en |
dc.contributor.orcid | Charalambous, Charalambos D. [0000-0002-2168-0231] | |
dc.gnosis.orcid | 0000-0002-2168-0231 |
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