Title :
Sequential algorithms for parameter estimation based on the Kullback-Leibler information measure
Author :
Weinstein, Ehud ; Feder, Meir ; Oppenheim, Alan V.
Author_Institution :
Dept. of Electr. Eng.-Syst., Tel-Aviv Univ., Israel
fDate :
9/1/1990 12:00:00 AM
Abstract :
Methods of stochastic approximation are used to convert iterative algorithms for maximizing the Kullback-Leibler information measure into sequential algorithms. Special attention is given to the case of incomplete data, and several algorithms are presented to deal with situations of this kind. The application of these algorithms to the identification of finite impulse response systems is considered
Keywords :
information theory; parameter estimation; stochastic processes; Kullback-Leibler information measure; finite impulse response systems; incomplete data; iterative algorithms; parameter estimation; sequential algorithms; stochastic approximation; Algorithm design and analysis; Approximation algorithms; Convergence; Finite impulse response filter; Iterative algorithms; Maximum likelihood estimation; Parameter estimation; Sea measurements; Signal processing algorithms; Stochastic processes;
Journal_Title :
Acoustics, Speech and Signal Processing, IEEE Transactions on
