Corpus ID: 41629864

Sigma-Point Filtering and Smoothing Based Parameter Estimation in Nonlinear Dynamic Systems

@article{Kokkala2015SigmaPointFA,
  title={Sigma-Point Filtering and Smoothing Based Parameter Estimation in Nonlinear Dynamic Systems},
  author={Juho Kokkala and A. Solin and Simo Sarkka},
  journal={arXiv: Methodology},
  year={2015}
}
  • Juho Kokkala, A. Solin, Simo Sarkka
  • Published 2015
  • Mathematics
  • arXiv: Methodology
  • We consider approximate maximum likelihood parameter estimation in nonlinear state-space models. We discuss both direct optimization of the likelihood and expectation--maximization (EM). For EM, we also give closed-form expressions for the maximization step in a class of models that are linear in parameters and have additive noise. To obtain approximations to the filtering and smoothing distributions needed in the likelihood-maximization methods, we focus on using Gaussian filtering and… CONTINUE READING

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