An EM algorithm for singular state space models: II
Victor Solo · 2004 43rd IEEE Conference on Decision and Control (CDC) (IEEE Cat. No.04CH37601) · 2004
For pt.I see ibid. (2003). We develop a state space EM algorithm for the case when the state innovations covariance matrix is singular and where there is correlation between state and observation noise. Previous state space EM algorithms precluded this practically important case.