Sciweavers

Share
CDC
2010
IEEE

Estimating state-space models in innovations form using the expectation maximisation algorithm

10 years 6 months ago
Estimating state-space models in innovations form using the expectation maximisation algorithm
The expectation maximisation (EM) algorithm has proven to be effective for a range of identification 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 profiled, 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.
Adrian Wills, Thomas B. Schön, Brett Ninness
Added 13 May 2011
Updated 13 May 2011
Type Journal
Year 2010
Where CDC
Authors Adrian Wills, Thomas B. Schön, Brett Ninness
Comments (0)
books