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Maximum Likelihood ...
Abstract
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- 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.
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 estimation
- Missing data
- Expectation-maximization algorithm
- ARMAX models
- Automatic control
- Reglerteknik
Publication and Content Type
- ref (subject category)
- art (subject category)
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