In this paper, we derive a new class of finite-dimensional filters for integrals and stochastic integrals of moments of the state for continuous-time linear Gaussian systems. Apart from being of significant mathematical interest, these new filters can be used with the expectation maximization (EM) algorithm to yield maximum likelihood estimates of the model parameters.
No takes yet. Share an insight, caveat, or question.
Elliott et al. (1997) studied this question.
Synapse has enriched 5 related papers. Consider them for comparative context: