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    Estimating state-space models in innovations form using the expectation maximisation algorithm
    13 years 6 months ago
    Estimating state-space models in innovations form using the expectation maximisation algorithm
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    The expectation maximisation (EM) algorithm has proven to be effective for a range of identification problems. Unfortunately, the way in which the EM algorithm has previously been ...
    Adrian Wills, Thomas B. Schön, Brett Ninness
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