Newton-based maximum likelihood estimation in nonlinear state space models

12 Feb 2015Manon KokJohan DahlinThomas B. SchönAdrian Wills

Maximum likelihood (ML) estimation using Newton's method in nonlinear state space models (SSMs) is a challenging problem due to the analytical intractability of the log-likelihood and its gradient and Hessian. We estimate the gradient and Hessian using Fisher's identity in combination with a smoothing algorithm... (read more)

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