Automatic numerical differentiation by maximum likelihood estimation of a linear Gaussian state space model

2019 18th European Control Conference (ECC) ◽

10.23919/ecc.2019.8795960 ◽

2019 ◽

Author(s):

Robert Piche

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

State Space Model ◽

Likelihood Estimation ◽

Numerical Differentiation ◽

Gaussian State ◽

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Approaches in Using Expectation Maximization Algorithm for Maximum Likelihood Estimation of The Parameters of a Constrained State Space Model with an External Input Series

Computer Science & Information Technology ( CS & IT ) ◽

10.5121/csit.2016.60506 ◽

2016 ◽

Author(s):

Chengliang Huang ◽

Xiao-Ping Zhang ◽

Fang Wang

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Expectation Maximization ◽

State Space Model ◽

Expectation Maximization Algorithm ◽

Likelihood Estimation ◽

External Input ◽

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Robust maximum likelihood estimation for stochastic state space model with observation outliers

International Journal of Systems Science ◽

10.1080/00207721.2015.1018369 ◽

2015 ◽

Vol 47 (11) ◽

pp. 2733-2744 ◽

Author(s):

J. AlMutawa

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

State Space Model ◽

Likelihood Estimation ◽

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State-Space Model and Maximum Likelihood Estimation

Lecture Notes in Economics and Mathematical Systems - The Yield Curve and Financial Risk Premia ◽

10.1007/978-3-642-21575-9_10 ◽

2011 ◽

pp. 273-276

Author(s):

Felix Geiger

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

State Space Model ◽

Likelihood Estimation ◽

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Monte Carlo maximum likelihood estimation for non-Gaussian state space models

10.1093/biomet/84.3.669 ◽

1997 ◽

Vol 84 (3) ◽

pp. 669-684 ◽

Author(s):

J Durbin

Keyword(s):

Monte Carlo ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Likelihood Estimation ◽

State Space Models ◽

Gaussian State ◽

Monte Carlo Maximum Likelihood ◽

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An Application of a Linear Gaussian State Space Model and the Kalman Filter In Estimating Expectations of the Natural Logarithmic Monthly Market Returns of the US 1838 Bond Debenture Closed-End Fund

SSRN Electronic Journal ◽

10.2139/ssrn.3253648 ◽

2018 ◽

Author(s):

Michel Guirguis

Keyword(s):

Kalman Filter ◽

State Space ◽

State Space Model ◽

Gaussian State ◽

Market Returns ◽

Space Model ◽

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A New Unified Approach to State Space Model Strucuture Determination and Maximum Likelihood Identification with Aerospace Applications

IFAC Proceedings Volumes ◽

10.1016/s1474-6670(17)47842-6 ◽

1994 ◽

Vol 27 (8) ◽

pp. 1019-1024 ◽

Author(s):

Raman K. Mehra

Keyword(s):

Maximum Likelihood ◽

State Space ◽

State Space Model ◽

Unified Approach ◽

Space Model ◽

Aerospace Applications

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Non-Gaussian State-Space Model

Introduction to Time Series Modeling ◽

10.1201/9780429197963-14 ◽

2020 ◽

pp. 229-248

Author(s):

Genshiro Kitagawa

Keyword(s):

State Space ◽

State Space Model ◽

Gaussian State ◽

Space Model ◽

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Maximum Likelihood estimation of state space models from frequency domain data

2007 European Control Conference (ECC) ◽

10.23919/ecc.2007.7068439 ◽

2007 ◽

Author(s):

Adrian Wills ◽

Brett Ninness ◽

Stuart Gibson

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Frequency Domain ◽

Likelihood Estimation ◽

State Space Models

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Maximum Likelihood Estimation of State-Space Models

Springer Series in Statistics - An Introduction to Sequential Monte Carlo ◽

10.1007/978-3-030-47845-2_14 ◽

2020 ◽

pp. 251-277

Author(s):

Nicolas Chopin ◽

Omiros Papaspiliopoulos

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Likelihood Estimation ◽

State Space Models

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Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies

Electronic Journal of Statistics ◽

10.1214/19-ejs1636 ◽

2019 ◽

Vol 13 (2) ◽

pp. 5151-5212 ◽

Author(s):

Vicky Fasen-Hartmann ◽

Markus Scholz

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Continuous Time ◽

Likelihood Estimation ◽

State Space Models ◽

Low Frequencies ◽

Quasi Maximum Likelihood ◽

Linear State ◽

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