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A note on the estimation of variances in state-space models using the maximum a posteriori procedure

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2 Author(s)
Harvey, A. ; University of London, London, England ; Peters, S.

This note examines an estimation procedure for the unknown parameters in a state-space model proposed by Tsang, Glover, and Bach. The method is based on the maximum a posteriori (MAP) principle. Contrary to the claims of Tsang et al. it is shown that the algorithm performs very poorly compared to maximum likelihood. Some insight into the shortcomings of the MAP procedure is obtained by comparing it to the computation of maximum likelihood estimators by the EM algorithm.

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Automatic Control, IEEE Transactions on  (Volume:30 ,  Issue: 10 )