Constrained expectation maximisation algorithm for estimating ARMA models in state space representation
نویسندگان
چکیده
منابع مشابه
Estimating State-Space Models in Innovations Form using the Expectation Maximisation Algorithm, Report no. LiTH-ISY-R-3002
The expectation maximisation (EM) algorithm has proven to be e ective for a range of identi cation problems. Unfortunately, the way in which the EM algorithm has previously been applied has proven unsuitable for the commonly employed innovations form model structure. This paper addresses this problem, and presents a previously unexamined method of EM algorithm employment. The results are pro le...
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ژورنال
عنوان ژورنال: EURASIP Journal on Advances in Signal Processing
سال: 2020
ISSN: 1687-6180
DOI: 10.1186/s13634-020-00678-3