A new method for evaluating the log-likelihood gradient, the Hessian, and the Fisher information matrix for linear dynamic systems

DOI10.1109/18.30995zbMath0676.93077OpenAlexW2147523358MaRDI QIDQ3832445

Publication date: 1989

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/18.30995

zbMATH Keywords

identification estimation Hessian Fisher information matrix stochastic systems log-likelihood gradient (score)

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Identification in stochastic control theory (93E12) Stochastic systems in control theory (general) (93E03)

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