A numerically efficient implementation of the expectation maximization algorithm for state space models

Empirical time series are subject to observational noise. Naïve approaches that estimate parameters in stochastic models for such time series are likely to fail due to the error-in-variables challenge. State space models (SSM) explicitly include observational noise. Applying the expectation maximiza...

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Bibliographic Details
Published in:Applied mathematics and computation Vol. 241; pp. 222 - 232
Main Authors: Mader, Wolfgang, Linke, Yannick, Mader, Malenka, Sommerlade, Linda, Timmer, Jens, Schelter, Björn
Format: Journal Article
Language:English
Published: Elsevier Inc 15.08.2014
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ISSN:0096-3003, 1873-5649
Online Access:Get full text
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