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On the Evaluation of Log Likelihood Gradient for Gaussian Signals

Kulikova, Maria; Semoushin, I.V.

International Journal of Applied Mathematics and Statistics, 3(5) (2005), 1–14

A newly developed algorithm for evaluating the log-likelihood gradient (score) for discrete-time stochastic system is presented. The algorithm is based upon the extended Square Root Covariance Filter (eSRCF). Theoretical results are given together with a numerical example briefly showing how this method works in practice.