Accession Number : ADA187980

Title :   Optimal Recursive Maximum Likelihood Estimation,

Corporate Author : MASSACHUSETTS INST OF TECH CAMBRIDGE LAB FOR INFORMATION AND DECISION SYSTEMS

Personal Author(s) : Ljung, Lennart ; Mitter, Sanjoy K ; Moura, Jose M

PDF Url : ADA187980

Report Date : Mar 1987

Pagination or Media Count : 2

Abstract : This paper derives stochastic differential equations for recursive maximum likelihood estimates for the joint filtering parameter estimation problem. Keywords: Maximum likelihood estimates; Stochastic differential equation; Hamilton Jacobi equation; Nonlinear filtering; Reprints.

Descriptors :   *MAXIMUM LIKELIHOOD ESTIMATION, NONLINEAR DIFFERENTIAL EQUATIONS, OPTIMIZATION, NONLINEAR SYSTEMS, REPRINTS, STOCHASTIC PROCESSES

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE