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Topic: Kalman filtering...
Replies: 9   Last Post: Jun 27, 2006 12:44 AM

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Glen Barnett

Posts: 643
Registered: 12/6/04
Re: Kalman filtering...
Posted: Jun 23, 2006 1:10 AM
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gino wrote:
> I am looking for Matlab codes for using Kalman filters to estimate unknown
> parameters, which, I hope, can be an alternative to the maximum likelihood
> estimate of the parameters...


For many models (in particular those with normal errors) where the
state is the parameter vector or a function of it, the KF will
generally give the MLE.

The KF is nothing more than a way of estimating the mean & variance of
the state in a SSM.

Which model did you have in mind?

Why do you want something other than ML?

Glen




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