Optimal Recursive Maximum Likelihood Estimation

• In this paper we derive stochastic differential equations for recursive maximum-likelihood estimates for the joint filtering-parameter estimation problems.

Subject headings

TEKNIK OCH TEKNOLOGIER  -- Elektroteknik och elektronik -- Reglerteknik (hsv//swe)

ENGINEERING AND TECHNOLOGY  -- Electrical Engineering, Electronic Engineering, Information Engineering -- Control Engineering (hsv//eng)

Keyword

Maximum likelihood estimate

Stochastic differential equation

Hamilton-Jacobi equation

Nonlinear filtering

Publication and Content Type

ref (subject category)

kon (subject category)