Title :
Finite dimensional filters for maximum likelihood estimation of continuous-time linear Gaussian systems
Author :
Elliott, Robert J. ; Krishnamurthy, Vikram
Author_Institution :
Dept. of Math. Sci., Alberta Univ., Edmonton, Alta., Canada
Abstract :
We derive a new class of finite dimensional filters for integrals and stochastic integrals of moments of the state for continuous-time linear Gaussian systems. Apart from being of significant mathematical interest, these new filters can be used with the expectation maximization algorithm to yield maximum likelihood estimates of the model parameters
Keywords :
Kalman filters; continuous time systems; filtering theory; maximum likelihood estimation; probability; stochastic systems; Kalman filter; continuous-time systems; expectation maximization algorithm; finite dimensional filters; linear Gaussian systems; maximum likelihood estimation; parameter estimation; probability space; stochastic integrals; stochastic systems; Information processing; Integral equations; Maximum likelihood estimation; Nonlinear filters; Parameter estimation; Riccati equations; Signal processing; Signal processing algorithms; Stochastic systems; Yttrium;
Conference_Titel :
Decision and Control, 1997., Proceedings of the 36th IEEE Conference on
Conference_Location :
San Diego, CA
Print_ISBN :
0-7803-4187-2
DOI :
10.1109/CDC.1997.649670
