A numerically efficient implementation of the expectation maximization algorithm for state space models

Mader, Wolfgang; Linke, Yannick; Mader, Malenka; Sommerlade, Linda; Timmer, Jens; Schelter, Bjoern

A numerically efficient implementation of the expectation maximization algorithm for state space models

Files

emfitAMCSubmission.pdf (526.6 KB)

Date

2014-08-15

Authors

Citation

Mader, W, Linke, Y, Mader, M, Sommerlade, L, Timmer, J & Schelter, B 2014, 'A numerically efficient implementation of the expectation maximization algorithm for state space models', Applied Mathematics and Computation, vol. 241, pp. 222-232. https://doi.org/10.1016/j.amc.2014.05.021