IDENTIFICATION AND FILTERING: OPTIMAL RECURSIVE MAXIMUM LIKELIHOOD APPROACH §

@inproceedings{Moura1986IDENTIFICATIONAF,
  title={IDENTIFICATION AND FILTERING: OPTIMAL RECURSIVE MAXIMUM LIKELIHOOD APPROACH §},
  author={Jos{\'e} M. F. Moura and Sanjoy K. Mitter},
  year={1986}
}
The paper studies the combined estimation of the parameters and filter- ing of the state of a stochastic nonlinear dynamical system. It circumvents the two basic limitations found in the litterature on the subject: i) the lack of recursibility of the optimal solution, and ii) the approximations involved when authors discuss recursive algorithms. To derive the optimal recursive joint identification algorithm, the problem is formulated in the context of stochastic nonlinear filtering theory. Key… CONTINUE READING

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