ANALYTIC 1ST AND 2ND DERIVATIVES FOR THE RECURSIVE PREDICTION ERROR ALGORITHMS LOG LIKELIHOOD FUNCTION

Authors
HOOKER MA
Citation
Ma. Hooker, ANALYTIC 1ST AND 2ND DERIVATIVES FOR THE RECURSIVE PREDICTION ERROR ALGORITHMS LOG LIKELIHOOD FUNCTION, IEEE transactions on automatic control, 39(3), 1994, pp. 662-664
Citations number
10
Categorie Soggetti
Controlo Theory & Cybernetics","Robotics & Automatic Control","Engineering, Eletrical & Electronic
Journal title
IEEE transactions on automatic control → ACNP
ISSN journal
00189286
Volume
39
Issue
3
Year of publication
1994
Pages
662 - 664
Database
ISI
SICI code
0018-9286(1994)39:3<662:A1A2DF>2.0.ZU;2-K
Abstract
This note improves on a method for computing analytic derivatives of t he likelihood function of a discrete, linear, time invariant Gaussian state-space system and extends it to handle correlation between the st ate transition and measurement noise terms and to compute the analytic Hessian matrix.