The EM algorithm for Multivariable Dynamic System Estimation
نویسندگان
چکیده
Abstract This paper explores the use of the Expectation-Maximisation (EM) algorithm as an alternative to the more usual gradient search methods for the computation of Maximum-Likelihood estimates of linear dynamic systems. This new approach is shown to afford several advantages, particularly where multivariable systems are concerned, since no a-priori parameterisation of the system is required. Technical Report EE200101, Department of Electrical and Computer Engineering, University of Newcastle,AUSTRALIA
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تاریخ انتشار 2001