Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Maximum Likelihood Estimation of Gaussian Models with Missing Data: Eight Equivalent Formulations
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2011 (English)Report (Other academic)
Abstract [en]

In this paper we derive the maximum likelihood problem for missing data from a Gaussian model. We present in total eight different equivalent formulations of the resulting optimization problem, four out of which are nonlinear least squares formulations. Among these formulations are also formulations based on the expectation-maximization algorithm. Expressions for the derivatives needed in order to solve the optimization problems are presented. We also present numerical comparisons for two of the formulations for an ARMAX model.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2011. , 13 p.
Series
LiTH-ISY-R, ISSN 1400-3902 ; 3013
Keyword [en]
Maximum likelihood estimation, Missing data, Expectation-maximization algorithm, ARMAX models
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-97957ISRN: LiTH-ISY-R-3013OAI: oai:DiVA.org:liu-97957DiVA: diva2:650787
Available from: 2013-09-23 Created: 2013-09-23 Last updated: 2014-08-07Bibliographically approved

Open Access in DiVA

fulltext(521 kB)220 downloads
File information
File name FULLTEXT01.pdfFile size 521 kBChecksum SHA-512
23c10a96a7bd9fbcb46e5a42820a4772a4827671e2cda7194a3ea0f5ecaec7304a993d8300ab4f1729f0be0487422b69c0825ea7342825cec0c533a66082e73c
Type fulltextMimetype application/pdf

Search in DiVA

By author/editor
Hansson, Anders
By organisation
Automatic ControlThe Institute of Technology
Control Engineering

Search outside of DiVA

GoogleGoogle Scholar
Total: 220 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 184 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf