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ESANN
2006
13 years 6 months ago
EM-algorithm for training of state-space models with application to time series prediction
In this paper, an improvement to the E step of the EM algorithm for nonlinear state-space models is presented. We also propose strategies for model structure selection when the EM-...
Elia Liitiäinen, Nima Reyhani, Amaury Lendass...