Exact Finite-Dimensional Filters for Maximum Likelihood Parameter Estimation of Continuous-time Linear Gaussian Systems

DOI10.1137/S036301299529255XzbMath0935.93061OpenAlexW2040853137MaRDI QIDQ4377423

Vikram Krishnamurthy, Robert J. Elliott

Publication date: 9 February 1998

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s036301299529255x

zbMATH Keywords

parameter estimation maximum likelihood estimation Kalman filter finite-dimensional filters stochastic systems expectation maximization algorithm

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Identification in stochastic control theory (93E12)

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