On the Evaluation of Log Likelihood Gradient for Gaussian Signals
Maria Vyacheslavovna Kulikova, Innokenti V. Semoushin · International Journal of Applied Mathematics & Statistics/International journal of applied mathematics and statistics · 2005
A newly developed algorithm for evaluating the log-likelihood gradient (score) for discrete-time stochastic system is presented. The algorithm is based upon the extended Square Root Covariance Filter (eSRCF). Theoretical results are given together with a numerical example briefly showing how this method works in practice.