Related papers: Maximum likelihood smoothing estimation in state-s…
We consider distributed estimation of the inverse covariance matrix, also called the concentration or precision matrix, in Gaussian graphical models. Traditional centralized estimation often requires global inference of the covariance…
Recursive Bayesian filters have been widely deployed in structural system identification where output-only filters are of higher practicality. Unfortunately, the estimation obtained by instantaneous system inversion via filters can be…
This paper presents an invariant Rauch-Tung- Striebel (IRTS) smoother applicable to systems with states that are an element of a matrix Lie group. In particular, the extended Rauch-Tung-Striebel (RTS) smoother is adapted to work within a…
We consider approximate maximum likelihood parameter estimation in nonlinear state-space models. We discuss both direct optimization of the likelihood and expectation--maximization (EM). For EM, we also give closed-form expressions for the…
Continuous-time state-space models (SSMs) are flexible tools for analysing irregularly sampled sequential observations that are driven by an underlying state process. Corresponding applications typically involve restrictive assumptions…
This paper considers maximum likelihood (ML) estimation in a large class of models with hidden Markov regimes. We investigate consistency of the ML estimator and local asymptotic normality for the models under general conditions which allow…
This paper concerns the use of sequential Monte Carlo methods (SMC) for smoothing in general state space models. A well-known problem when applying the standard SMC technique in the smoothing mode is that the resampling mechanism introduces…
In this paper, we propose two new algorithms for maximum-likelihood estimation (MLE) of high dimensional sparse covariance matrices. Unlike most of the state of-the-art methods, which either use regularization techniques or penalize the…
We undertake a detailed study of the performance of maximum likelihood (ML) estimators of the density matrix of finite-dimensional quantum systems, in order to interrogate generic properties of frequentist quantum state estimation. Existing…
Using stochastic gradient search and the optimal filter derivative, it is possible to perform recursive (i.e., online) maximum likelihood estimation in a non-linear state-space model. As the optimal filter and its derivative are…
Smoothing is a technique that estimates the state of a system using measurement information both prior and posterior to the estimation time. Two notable examples of this technique are the Rauch-Tung-Striebel and Mayne-Fraser-Potter…
We consider the problem of estimating the joint distribution function of the event time and a continuous mark variable based on censored data. More specifically, the event time is subject to current status censoring and the continuous mark…
The smoothing task is core to many signal processing applications. A widely popular smoother is the Rauch-Tung-Striebel (RTS) algorithm, which achieves minimal mean-squared error recovery with low complexity for linear Gaussian state space…
Factor analysis, a classical multivariate statistical technique is popularly used as a fundamental tool for dimensionality reduction in statistics, econometrics and data science. Estimation is often carried out via the Maximum Likelihood…
In quantum state tomography, the estimated frequencies do not correspond directly to a physical quantum state, due to statistical fluctuations. Thus, one resorts to point estimators that return the state that matches observations the best,…
In this paper, we propose a maximum smoothed likelihood method to estimate the component density functions of mixture models, in which the mixing proportions are known and may differ among observations. The proposed estimates maximize a…
In this paper, we study the problem of estimating the state of a dynamic state-space system where the output is subject to quantization. We compare some classical approaches and a new development in the literature to obtain the filtering…
We have developed a new regression technique, the maximum likelihood (ML)-based method and its variant, the KS-test based method, designed to obtain unbiased regression results from typical astronomical data. A normalizing flow model is…
Gaussian Random Fields (GRFs) with Mat\'ern covariance functions have emerged as a powerful framework for modeling spatial processes due to their flexibility in capturing different features of the spatial field. However, the smoothness…
This paper illustrates an application of machine learning (ML) within a complex system that performs grade estimation. In surface mining, assay measurements taken from production drilling often provide useful information that allows…