• DocumentCode
    434910
  • Title

    An EM algorithm for singular state space models: II

  • Author

    Solo, Victor

  • Author_Institution
    Dept. of Electr. Eng. & Comput. Sci., Michigan Univ., Ann Arbor, MI, USA
  • Volume
    4
  • fYear
    2004
  • fDate
    14-17 Dec. 2004
  • Firstpage
    3611
  • Abstract
    For pt.I see ibid. (2003). We develop a state space EM algorithm for the case when the state innovations covariance matrix is singular and where there is correlation between state and observation noise. Previous state space EM algorithms precluded this practically important case.
  • Keywords
    covariance matrices; maximum likelihood estimation; optimisation; state-space methods; EM algorithm; expectation maximization algorithm; maximum likelihood parameter estimator; observation noise; singular state innovations covariance matrix; singular state space models; state noise; Convergence; Covariance matrix; Gaussian noise; Maximum likelihood estimation; Parameter estimation; Perturbation methods; State-space methods; Technological innovation; White noise; Yttrium;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 2004. CDC. 43rd IEEE Conference on
  • ISSN
    0191-2216
  • Print_ISBN
    0-7803-8682-5
  • Type

    conf

  • DOI
    10.1109/CDC.2004.1429288
  • Filename
    1429288
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=434910