26 citations · 37 across the 6 of their papers we have counts for
4 papers · 1 filter
Bias of Particle Approximations to Optimal Filter Derivative
Vladislav Z. B. Tadic, Arnaud Doucet
In many applications, a state-space model depends on a parameter which needs to be inferred from a data set. Quite often, it is necessary to perform the parameter inference online.…
Asymptotic Properties of Recursive Maximum Likelihood Estimation in Non-Linear State-Space Models
Vladislav Z. B. Tadic, Arnaud Doucet
Using stochastic gradient search and the optimal filter derivative, it is possible to perform recursive (i.e., online) maximum likelihood estimation in a non-linear state-space mod…
Asymptotic Bias of Stochastic Gradient Search
Vladislav B. Tadic, Arnaud Doucet
The asymptotic behavior of the stochastic gradient algorithm with a biased gradient estimator is analyzed. Relying on arguments based on the dynamic system theory (chain-recurrence…
Analyticity, Convergence and Convergence Rate of Recursive Maximum Likelihood Estimation in Hidden Markov Models
Vladislav B. Tadić
This paper considers the asymptotic properties of the recursive maximum likelihood estimation in hidden Markov models. The paper is focused on the asymptotic behavior of the log-li…