A unified square-root approach for the score and Fisher information matrix computation in linear dynamic systems

One of the most frequently encountered problems in practice is to combine a priori knowledge about a physical system with experimental data to provide on-line estimation of an unknown dynamic state and system parameters. The classical way for solving this problem is to use adaptive filtering techniq...

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Bibliographic Details

Published in:	Mathematics and computers in simulation Vol. 119; pp. 128 - 141
Main Authors:	Kulikova, M.V., Tsyganova, J.V.
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.01.2016
Subjects:	Fisher information matrix Gradient-based methods Kalman filtering Maximum likelihood estimation Square-root algorithms Gradient-based methods Maximum likelihood estimation Kalman filtering Square-root algorithms Fisher information matrix
ISSN:	0378-4754, 1872-7166
Online Access:	Get full text
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