Formulation and Implementation of a Practical Algorithm for Parameter Estimation with Process and Measurement Noise

A new formulation is proposed for the problem of parameter estimation of dynamic systems with both process and measurement noise. The formulation gives estimates that are maximum likelihood asymptotically in time. The means used to overcome the difficulties encountered by previous formulations are discussed. It is then shown how the proposed formulation can be efficiently implemented in a computer program. A computer program using the proposed formulation is available in a form suitable for routine application. Examples with simulated and real data are given to illustrate that the program works well.