A numerically efficient implementation of the expectation maximization algorithm for state space models
نویسندگان
چکیده
منابع مشابه
A numerically efficient implementation of the expectation maximization algorithm for state space models
Empirical time series are subject to observational noise. Naïve approaches that estimate parameters in stochastic models for such time series are likely to fail due to the error-in-variables challenge. State space models (SSM) explicitly include observational noise. Applying the expectation maximization (EM) algorithm together with the Kalman filter constitute a robust iterative procedure to es...
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ژورنال
عنوان ژورنال: Applied Mathematics and Computation
سال: 2014
ISSN: 0096-3003
DOI: 10.1016/j.amc.2014.05.021