Using stochastic gradient search and the optimal filter derivative, it is possible to perform recursive maximum likelihood estimation in a non-linear state-space model. As its derivative are analytically intractable for such model, they need be approximated numerically. In Poyiadjis et al. (G. Poyiadjis, A. Doucet, S. Singh, Biometrika, vol. 98, no. 1, pp. 65–80, 2011), algorithm based on parti...

Abstract This work develops a recursive algorithm to estimate given size sequence of Markov parameters for linear discrete-time systems, which is related FIR models estimation. The discussion on in identification literature tends be brief due its poor prediction error low order models, although parameter shorter length can used, e.g., as the input data-driven MPC based and system combined with ...