• DocumentCode
    2994118
  • Title

    Identification of stochastic linear dynamic systems

  • Author

    Mehra, Raman

  • Author_Institution
    Wolf Management Services, Palo Alto, California
  • fYear
    1969
  • fDate
    17-19 Nov. 1969
  • Firstpage
    66
  • Lastpage
    66
  • Abstract
    Using a new form of representation, a set of equations has been derived for the maximum likelihood identification of linear dynamic systems. These equations are shown to be directly related to the filtering and smoothing equations for linear dynamic systems. Numerical results are obtained for a fourth order system using Davidon´s Conjugate Gradient Method which also gives the variances of the estimates.
  • Keywords
    Econometrics; Equations; Filtering; Kalman filters; Maximum likelihood estimation; Nonlinear filters; State estimation; State-space methods; Stochastic systems; White noise;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Adaptive Processes (8th) Decision and Control, 1969 IEEE Symposium on
  • Conference_Location
    University Park, PA, USA
  • Type

    conf

  • DOI
    10.1109/SAP.1969.269932
  • Filename
    4044585
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2994118