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Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm

✍ Scribed by A. Dembo; O. Zeitouni

Book ID
107950394
Publisher
Elsevier Science
Year
1992
Tongue
English
Weight
149 KB
Volume
40
Category
Article
ISSN
0304-4149

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Exact filters for Newton–Raphson paramet
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✍ C.D. Charalambous; J.L. Hibey πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 156 KB

This paper presents explicit ΓΏnite-dimensional ΓΏlters for implementing Newton-Raphson (NR) parameter estimation algorithms. The models which exhibit nonlinear parameter dependence are stochastic, continuous-time and partially observed. The implementation of the NR algorithm requires evaluation of th