On the maximum likelihood estimates for linear dynamic systems

Keywords

Maximum likelihood, Mathematics, Applied mathematics, Statistics

References

• LINEAR ESTIMATION OF SAMPLED STOCHASTIC PROCESSES WITH RANDOM PARAMETERSHerbert E. Rauch — 1962
• Extrapolation, Interpolation, and Smoothing of Stationary Time SeriesNorbert Wiener — 1964
• Solutions to the linear smoothing problemHerbert E. Rauch — 1963
• Optimum estimation of satellite trajectories including random fluctuations in dragHerbert E. Rauch — 1965
• An Approach to Time Series AnalysisEmanuel Parzen — 1961
• On the estimation of state variables and parameters for noisy dynamic systemsH. Cox — 1964
• On the stochastic approximation method and optimal filtering theoryYu Ho — 1963
• New results in linear prediction and filtering theory Trans. AMSER. E. Kalman — 1961
• Introduction to Matrix AnalysisD. A. Rees — 1972
• Introduction to Matrix AnalysisRichard Bellman — 1960

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• Estimation of Nonlinear Dynamic Systems: Theory and ApplicationsThomas B. Schön — 2006
• Zeitstetige Modellbildung am Beispiel einer volkswirtschaftlichen ProduktionsstrukturThomas Mazzoni — 2005
• Switching linear dynamical systems for speech recognitionA.-V.I. Rosti, Mark Gales — 2003
• GMTI radar track segment association and out-of-sequence measurement processingShuo Zhang — 2011
• A U-D Fixed-Interval Smoother in Backward-Pass RealizationKeigo Watanabe, Spyros G. Tzafestaş — 1990
• Unsupervised segmentation of random discrete data using triplet Markov chainsMohamed Ben Mabrouk, Wojciech Pieczynski — 2007
• Inference in hidden Markov modelsOlivier Cappé, Eric Moulines, Tobias Rydèn — 2010
• Fast Algorithms for Mining Co-evolving Time SeriesLi, Lei — 2011
• Modélisation fonctionnelle de profils de vitesse en lien avec l'infrastructure et méthodologie de construction d'un profil agrégéCindie Andrieu — 2013
• Bayesian Filtering and SmoothingSimo Srkk — 2013
• Contributions to the Estimation of Mixed-State Conditionally Heteroscedastic Latent Factor Models: A Comparative StudyMohamed Saidane, Christian Lavergne — 2008
• Glottal source parametrisation by multi-estimate fusionHaoxuan Li — 2013
• A unified approach to smoothing formulasLennart Ljung, T. Kailath — 1976
• Two-filter Gaussian mixture smoothing with posterior pruningAbu Sajana Rahmathullah, Lennart Svensson, Daniel Svensson — 2014
• EM-SLAM With Inertial/Visual ApplicationsZoran Sjanic, Martin A. Skoglund, Fredrik Gustafsson — 2017
• The EM algorithm and neural networks for nonlinear state space estimationJfg de Freitas, Mahesan Niranjan, AH Gee — 1998

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