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
http://www.ceser.in/ceserp/index.php/ijamas/article/view/43
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.
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