Statistical inference using maximum likelihood estimation and the generalized likelihood ratio when the true parameter is on the boundary of the parameter space
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: Statistics & Probability Letters
سال: 1992
ISSN: 0167-7152
DOI: 10.1016/0167-7152(92)90042-4