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stat.CO2020★ 1 cited
Computation of the Gradient and the Hessian of the Log-likelihood of the State-space Model by the Kalman Filter
G. Kitagawa
The maximum likelihood estimates of an ARMA model can be obtained by the Kalman filter based on the state-space representation of the model. This paper presents an algorithm for co…
stat.ME2020★ 1 cited
Pearson chi^2-divergence Approach to Gaussian Mixture Reduction and its Application to Gaussian-sum Filter and Smoother
Genshiro Kitagawa
The Gaussian mixture distribution is important in various statistical problems. In particular it is used in the Gaussian-sum filter and smoother for linear state-space model with n…