Maximum likelihood estimation of Gaussian models with missing data -- Eight equivalent formulations

DOI10.1016/j.automatica.2012.05.060zbMath1258.93105OpenAlexW2067226127MaRDI QIDQ1937468

Yanyan Li

Publication date: 1 March 2013

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2012.05.060

zbMATH Keywords

maximum likelihood estimationoptimization problemmissing dataexpectationGaussian modelsARMAX modelsmaximization algorithmnonlinear least squares formulations

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24)

Related Items (2)

Maximum likelihood estimation of linear SISO models subject to missing output data and missing input data ⋮ Maximum likelihood interval-varying recursive least squares identification for output-error autoregressive systems with scarce measurements

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