Recursive maximum likelihood and related algorithms for parameter identification of dynamical processes

Abstract

An algorithm recursive in the data (time) is developed for efficient computation of the approximate maximum of the exact log likelihood function (LLF) for general dynamical processes of finite state order. A numerical quadratic hill-climbing approach is used to incrementally determine the maximum interval (in time) of data for which the LLF is acceptably… (More)

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Cite this paper

@article{Larimore1981RecursiveML, title={Recursive maximum likelihood and related algorithms for parameter identification of dynamical processes}, author={Wallace E. Larimore}, journal={1981 20th IEEE Conference on Decision and Control including the Symposium on Adaptive Processes}, year={1981}, pages={50-55} }