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Maximum Likelihood ...
Maximum Likelihood Estimation of Gaussian Models with Missing Data : Eight Equivalent Formulations
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- Hansson, Anders (författare)
- Linköpings universitet,Reglerteknik,Tekniska högskolan
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- Wallin, Ragnar (författare)
- Linköpings universitet,Reglerteknik,Tekniska högskolan
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(creator_code:org_t)
- Linköping : Linköping University Electronic Press, 2011
- Engelska 13 s.
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Serie: LiTH-ISY-R, 1400-3902 ; 3013
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Abstract
Ämnesord
Stäng
- In this paper we derive the maximum likelihood problem for missing data from a Gaussian model. We present in total eight different equivalent formulations of the resulting optimization problem, four out of which are nonlinear least squares formulations. Among these formulations are also formulations based on the expectation-maximization algorithm. Expressions for the derivatives needed in order to solve the optimization problems are presented. We also present numerical comparisons for two of the formulations for an ARMAX model.
Ämnesord
- TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Reglerteknik (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Control Engineering (hsv//eng)
Nyckelord
- Maximum likelihood estimation
- Missing data
- Expectation-maximization algorithm
- ARMAX models
Publikations- och innehållstyp
- vet (ämneskategori)
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