DocumentCode :
847677
Title :
A note on the estimation of variances in state-space models using the maximum a posteriori procedure
Author :
Harvey, A.C. ; Peters, S.
Author_Institution :
University of London, London, England
Volume :
30
Issue :
10
fYear :
1985
fDate :
10/1/1985 12:00:00 AM
Firstpage :
1048
Lastpage :
1050
Abstract :
This note examines an estimation procedure for the unknown parameters in a state-space model proposed by Tsang, Glover, and Bach. The method is based on the maximum a posteriori (MAP) principle. Contrary to the claims of Tsang et al. it is shown that the algorithm performs very poorly compared to maximum likelihood. Some insight into the shortcomings of the MAP procedure is obtained by comparing it to the computation of maximum likelihood estimators by the EM algorithm.
Keywords :
Linear systems, stochastic; MAP estimation; Parameter estimation, linear systems; Stochastic systems, linear; maximum-likelihood (ML) estimation; Automatic control; Control systems; Equations; Frequency; Lagrangian functions; Maximum likelihood estimation; Optimal control; State estimation; Steady-state; White noise;
fLanguage :
English
Journal_Title :
Automatic Control, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9286
Type :
jour
DOI :
10.1109/TAC.1985.1103813
Filename :
1103813
Link To Document :
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