Optimal Recursive Maximum Likelihood Estimation,

Abstract

This paper derives stochastic differential equations for recursive maximum likelihood estimates for the joint filtering parameter estimation problem. Keywords: Maximum likelihood estimates; Stochastic differential equation; Hamilton Jacobi equation; Nonlinear filtering; Reprints.

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Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1987
Accession Number
ADA187980

Entities

People

  • Jose M. Moura
  • Lennart Ljung
  • Sanjoy K. Mitter

Organizations

  • Massachusetts Institute of Technology

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Air Force
  • Brownian Motion
  • Computer Science
  • Differential Equations
  • Electrical Engineering
  • Engineering
  • Equations
  • Filtration
  • Maximum Likelihood Estimation
  • Random Variables
  • Scientific Research
  • Universities

Fields of Study

  • Engineering
  • Mathematics

Readers

  • Calculus or Mathematical Analysis
  • Statistical inference.