The marginal likelihood for parameters in a discrete Gauss-Markov process

DOI10.1109/78.824682zbMath1010.65004OpenAlexW2134266087MaRDI QIDQ2734309

Bradley M. Bell

Publication date: 14 August 2001

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/78.824682

zbMATH Keywords

marginal likelihoodLaplace's methodadaptive Kalman-Bucy filteringdiscrete Gauss-Markov process

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time Markov processes on general state spaces (60J05) Numerical optimization and variational techniques (65K10)

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