DocumentCode
837554
Title
Derivative computations for the log likelihood function
Author
Wilson, David A. ; Kumar, Alok
Author_Institution
University of Leeds, Leeds, England
Volume
27
Issue
1
fYear
1982
fDate
2/1/1982 12:00:00 AM
Firstpage
230
Lastpage
232
Abstract
This note improves on a method for computing derivatives of the log likelihood function used in the identification of discrete, linear time-invariant Gaussian systems. A formula for the derivative is obtained in terms of the derivatives of the matrices used to define the system under identification.
Keywords
Gaussian processes; Linear systems, stochastic; Stochastic systems, linear; System identification, linear systems; maximum-likelihood (ML) estimation; Kalman filters; Riccati equations;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1982.1102834
Filename
1102834
Link To Document