Maximum Likelihood Estimate for Discontinuous Parameter in Stochastic Parabolic Systems
نویسندگان
چکیده
منابع مشابه
Maximum Likelihood Parameter Estimation
The problem of estimating the parameters for continuous-time partially observed systems is discussed. New exact lters for obtaining Maximum Likelihood (ML) parameter estimates via the Expectation Maximization algorithm are derived. The methodology exploits relations between incomplete and complete data likelihood and gradient of likelihood functions, which are derived using Girsanov's measure t...
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ژورنال
عنوان ژورنال: Transactions of the Society of Instrument and Control Engineers
سال: 1994
ISSN: 0453-4654
DOI: 10.9746/sicetr1965.30.644