dc.contributor.author | Charalambous, Charalambos D. | en |
dc.contributor.author | Logothetis, Andrew | en |
dc.contributor.author | Hibey, Joseph L. | en |
dc.creator | Charalambous, Charalambos D. | en |
dc.creator | Logothetis, Andrew | en |
dc.creator | Hibey, Joseph L. | en |
dc.date.accessioned | 2019-04-08T07:45:17Z | |
dc.date.available | 2019-04-08T07:45:17Z | |
dc.date.issued | 1999 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/43105 | |
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. | en |
dc.publisher | IEEE | en |
dc.source | Proceedings of the IEEE Conference on Decision and Control | 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-s2.0-0033333316&partnerID=40&md5=24a0c4be8952da597cf46dbe0fcadb5b | |
dc.subject | Mathematical models | en |
dc.subject | Algorithms | en |
dc.subject | Probability | en |
dc.subject | Stochastic control systems | en |
dc.subject | Mathematical transformations | en |
dc.subject | Brownian movement | en |
dc.subject | Integral equations | en |
dc.subject | Matrix algebra | en |
dc.subject | Parameter estimation | en |
dc.subject | Observability | en |
dc.subject | Signal filtering and prediction | en |
dc.subject | Newton-raphson parameter estimation | en |
dc.subject | Fischer information matrix | en |
dc.subject | Log likelihood gradient | 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/conferenceObject | |
dc.description.volume | 5 | |
dc.description.startingpage | 4543 | |
dc.description.endingpage | 4548 | |
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 | Conference Object | en |
dc.contributor.orcid | Charalambous, Charalambos D. [0000-0002-2168-0231] | |
dc.gnosis.orcid | 0000-0002-2168-0231 | |