SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation.
Maria V. KulikovaJulia V. TsyganovaGennady Yu. KulikovPublished in: J. Comput. Appl. Math. (2021)
Keyphrases
- parameter estimation
- kalman filtering
- state estimation
- estimation problems
- maximum likelihood
- kalman filter
- least squares
- model selection
- markov random field
- maximum likelihood estimation
- em algorithm
- parameters estimation
- parameter estimates
- random fields
- video tracking
- expectation maximization
- parameter estimation algorithm
- model fitting
- multiscale
- three dimensional