• DocumentCode
    802059
  • Title

    Maximum likelihood identification of stochastic linear systems

  • Author

    Kashyap, R.L.

  • Author_Institution
    Purdue University, Lafayette, IN, USA
  • Volume
    15
  • Issue
    1
  • fYear
    1970
  • fDate
    2/1/1970 12:00:00 AM
  • Firstpage
    25
  • Lastpage
    34
  • Abstract
    The maximum likelihood estimation of the coefficients of multiple output linear dynamical systems and the noise correlations from the noisy measurements of input and output are discussed. Conditions are derived under which the estimates converge to their true values as the number of measurements tend to infinity. The computational methods are illustrated by several numerical examples.
  • Keywords
    Linear systems, stochastic discrete-time; Parameter estimation; maximum-likelihood (ML) estimation; Information analysis; Information theory; Instruments; Linear systems; Maximum likelihood detection; Maximum likelihood estimation; Noise measurement; Predictive models; Stochastic resonance; Stochastic systems;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1970.1099344
  • Filename
    1099344
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=802059