Interactive maximum likelihood estimation

DOI10.1080/00207178008922904zbMath0452.93040OpenAlexW2034403961MaRDI QIDQ3899922

Peter E. Wellstead, D. L. Prager

Publication date: 1980

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207178008922904

zbMATH Keywords

identificationparameter estimationmodellingmaximum likelihood estimationleast squares approximationsrecursive hypothesis testing

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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Cites Work

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• Canonical forms for the identification of multivariable linear systems
• A recursive (on-line) maximum likelihood identification method
• Canonical matrix fraction and state-space descriptions for deterministic and stochastic linear systems
• Uniqueness of the maximum likelihood estimates of the parameters of an ARMA model
• Some observations on instrumental variable methods of time-series analysis