DocumentCode
1069288
Title
Analytic first and second derivatives for the recursive prediction error algorithm´s log likelihood function
Author
Hooker, Mark A.
Author_Institution
Dept. of Econ., Dartmouth Coll., Hanover, NH, USA
Volume
39
Issue
3
fYear
1994
fDate
3/1/1994 12:00:00 AM
Firstpage
662
Lastpage
664
Abstract
This note improves on a method for computing analytic derivatives of the likelihood function of a discrete, linear, time invariant Gaussian state-space system and extends it to handle correlation between the state transition and measurement noise terms and to compute the analytic Hessian matrix
Keywords
differentiation; discrete systems; error analysis; estimation theory; filtering and prediction theory; measurement errors; probability; state-space methods; analytic Hessian matrix; analytic first derivatives; analytic second derivatives; discrete linear time-invariant Gaussian state-space system; log likelihood function; measurement noise; recursive prediction error algorithm; state transition; Algorithm design and analysis; Control systems; Debugging; Error correction; Gaussian noise; Noise measurement; Prediction algorithms; Predictive models; Recursive estimation; Time measurement;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.280783
Filename
280783
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