Estimating State-Space Models in Innovations Form using the Expectation Maximisation Algorithm, Report no. LiTH-ISY-R-3002
نویسندگان
چکیده
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 led, which indicate that a hybrid EM/gradient-search technique may in some cases outperform either a pure EM or a pure gradient-based search approach.
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تاریخ انتشار 2011