Abstract:
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 betw...Show MoreMetadata
Abstract:
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.
Date of Conference: 14-17 December 2004
Date Added to IEEE Xplore: 16 May 2005
Print ISBN:0-7803-8682-5
Print ISSN: 0191-2216
Contents 