• DocumentCode
    404008
  • Title

    An EM algorithm for singular state space models

  • Author

    Solo, Victor

  • Author_Institution
    Sch. of Electr. Eng., New South Wales Univ., Sydney, NSW, Australia
  • Volume
    4
  • fYear
    2003
  • fDate
    9-12 Dec. 2003
  • Firstpage
    3457
  • Abstract
    We develop a state space EM algorithm for the case when the state innovations covariance matrix is singular. Previous state space algorithms required this to be of full rank.
  • Keywords
    covariance matrices; optimisation; state-space methods; EM algorithm; covariance matrix; expectation maximization algorithm; singular state space models; Australia; Context modeling; Convergence; Covariance matrix; Maximum likelihood estimation; Parameter estimation; Perturbation methods; State-space methods; Technological innovation; White noise;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 2003. Proceedings. 42nd IEEE Conference on
  • ISSN
    0191-2216
  • Print_ISBN
    0-7803-7924-1
  • Type

    conf

  • DOI
    10.1109/CDC.2003.1271681
  • Filename
    1271681
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=404008