Exact Finite-Dimensional Filters for Maximum Likelihood Parameter Estimation of Continuous-time Linear Gaussian Systems
Robert James Elliott, Vikram Krishnamurthy · SIAM Journal on Control and Optimization · 1997
In this paper, we derive a new class of finite-dimensional filters for integrals and stochastic integrals of moments of the state for continuous-time linear Gaussian systems. Apart from being of significant mathematical interest, these new filters can be used with the expectation maximization (EM) algorithm to yield maximum likelihood estimates of the model parameters.