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

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Posts: 139
Registered: 12/11/05
Re: Kalman filtering...
Posted: Jun 23, 2006 2:15 AM
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<> wrote in message
> 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

Because MLE gives a lot of local minimum, and depending on the initial
values, the optimum points jump around; it is really hard to harness. And in
our optimization procedure using Matlab's "fmincon", some unwanted
points(often boundary) give -infinity, which became our global minimum,
which is definitely undesirable...

We'd like to try out other alternatives other than MLE. From data we don't
neccessarily know if they are with normal errors or not... thus do you still
have theoretical results showing that KF is exactly the same as MLE?

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