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A new method for evaluating the log-likelihood gradient (score) oflinear dynamic systems |
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| Authors: | Segal M. Weinstein E. |
| Affiliation: | Dept. of Electron. Syst., Tel-Aviv Univ.; |
| Abstract: | A novel method is presented that is based on the optimal smoothing equations. The result can be used for efficient calculations and approximations of gradient-search algorithms for maximum-likelihood estimation of the unknown system parameters. The method is applied to the continuous-discrete case |
| Keywords: | |