Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models.
Alexandros BeskosDan CrisanAjay JasraNikolas KantasHamza M. RuzayqatPublished in: SIAM J. Sci. Comput. (2021)
Keyphrases
- parameter estimation
- state space
- statistical models
- least squares
- random fields
- model selection
- maximum likelihood
- em algorithm
- model fitting
- markov random field
- approximate inference
- expectation maximization
- dynamical systems
- parameter estimation algorithm
- parameter values
- maximum likelihood estimation
- estimation problems
- posterior distribution
- reinforcement learning
- markov chain
- structure learning
- markov chain monte carlo
- stochastic processes
- parameter estimates
- search space
- pairwise
- machine learning
- markov decision processes
- accurate models