| March 1987 LIDS-P- 16'60 OPTIMAL RECURSIVE HAXIMUM LIKELIHOOD ESTIMATION (2008) | |||||||||||||
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| Abstract: In this paper we derive stochastic differential equations for recursive maximum-likelihood estimates for the joint filtering-parameter estimation problem. Keywords: Maximum likelihood estimates stochastic differential equationt Hamilton-Jacobi Equation: Nonlinear Filtering 1. INTRODUCTION where- denotes a backway stochastic differential (and backward Ito integral respectively). In this paper we would like to consider the joint states and parameter estimation problem for the Let following non-linear stochastic differential | |||||||||||||
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