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
fDate :
10/1/1985 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1985.1103813