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math.ST2018
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.…
math.ST2018★ 9 cited
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…