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Parameter estimation in a general state space model from short observation data: A SMC based approach

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5 Author(s)
Saha, S. ; Dept. Of Appl. Math., Univ. of Twente, Netherlands ; Mandal, P.K. ; Bagchi, A. ; Boers, Y.
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In this article, we propose a SMC based method for estimating the static parameter of a general state space model. The proposed method is based on maximizing the joint likelihood of the observation and unknown state sequence with respect to both the unknown parameters and the unknown state sequence. This in turn, casts the problem into simultaneous estimations of state and parameter. We show the efficacy of this method by numerical simulation results.

Published in:

Statistical Signal Processing, 2009. SSP '09. IEEE/SP 15th Workshop on

Date of Conference:

Aug. 31 2009-Sept. 3 2009