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

Saha, S. and Mandal, P.K. and Bagchi, A. and Boers, Y. and Driessen, H. (2009) Parameter estimation in a general state space model from short observation data: A SMC based approach. In: 2009 IEEE/SP 15th Workshop on Statistical Signal Processing, 31 Aug - 03 Sep 2009, Cardiff, UK.

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Abstract:	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.
Item Type:	Conference or Workshop Item
Copyright:	© 2009 IEEE
Faculty:	Electrical Engineering, Mathematics and Computer Science (EEMCS)
Research Group:	Stochastic Systems and Signals (SST)
Link to this item:	http://purl.utwente.nl/publications/68154
Official URL:	http://dx.doi.org/10.1109/SSP.2009.5278643
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