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Parameter estimation of continuous dynamical linear systems given discrete-time observations

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2 Author(s)
M. Segal ; Tel-Aviv University, Tel-Aviv, Israel ; E. Weinstein

We present a computationally efficient scheme for parameter estimation of continuous dynamical linear systems given discrete-time noisy observations. The proposed scheme is optimal in the sense that it converges iteratively to the exact Maximum Likelihood estimate, where each iteration increases the likelihood.

Published in:

Proceedings of the IEEE  (Volume:75 ,  Issue: 5 )