A note on the Estimation of Variances in State Space Models using the maximum a Posteriori Procedure

Andrew Harvey; Simon Peters

A note on the Estimation of Variances in State Space Models using the maximum a Posteriori Procedure

Economics

Research output: Contribution to journal › Article › peer-review

Abstract

This note examines an estimation procedure for the unknown parameters in a state-space model proposed by Tsang, Glover, and Bach. The method is based on the maximum a posteriori (MAP) principle. Contrary to the claims of Tsang et al. it is shown that the algorithm performs very poorly compared to maximum likelihood. Some insight into the shortcomings of the MAP procedure is obtained by comparing it to the computation of maximum likelihood estimators by the EM algorithm.

Original language	English
Pages (from-to)	1048-1050
Number of pages	3
Journal	IEEE Transactions on Automatic Control
Volume	30
Issue number	10
Publication status	Published - 1985

Keywords

State estimation
Automatic control
Steady-state
Control systems
Equations
Frequency ,

Cite this

@article{5bc3e5d25a094398b22481bacc46a103,

title = "A note on the Estimation of Variances in State Space Models using the maximum a Posteriori Procedure",

abstract = "This note examines an estimation procedure for the unknown parameters in a state-space model proposed by Tsang, Glover, and Bach. The method is based on the maximum a posteriori (MAP) principle. Contrary to the claims of Tsang et al. it is shown that the algorithm performs very poorly compared to maximum likelihood. Some insight into the shortcomings of the MAP procedure is obtained by comparing it to the computation of maximum likelihood estimators by the EM algorithm.",

keywords = "State estimation, Automatic control, Steady-state, Control systems, Equations, Frequency ,",

author = "Andrew Harvey and Simon Peters",

year = "1985",

language = "English",

volume = "30",

pages = "1048--1050",

journal = "IEEE Transactions on Automatic Control",

issn = "0018-9286",

publisher = "IEEE",

number = "10",

}

TY - JOUR

T1 - A note on the Estimation of Variances in State Space Models using the maximum a Posteriori Procedure

AU - Harvey, Andrew

AU - Peters, Simon

PY - 1985

Y1 - 1985

N2 - This note examines an estimation procedure for the unknown parameters in a state-space model proposed by Tsang, Glover, and Bach. The method is based on the maximum a posteriori (MAP) principle. Contrary to the claims of Tsang et al. it is shown that the algorithm performs very poorly compared to maximum likelihood. Some insight into the shortcomings of the MAP procedure is obtained by comparing it to the computation of maximum likelihood estimators by the EM algorithm.

AB - This note examines an estimation procedure for the unknown parameters in a state-space model proposed by Tsang, Glover, and Bach. The method is based on the maximum a posteriori (MAP) principle. Contrary to the claims of Tsang et al. it is shown that the algorithm performs very poorly compared to maximum likelihood. Some insight into the shortcomings of the MAP procedure is obtained by comparing it to the computation of maximum likelihood estimators by the EM algorithm.

KW - State estimation

KW - Automatic control

KW - Steady-state

KW - Control systems

KW - Equations

KW - Frequency ,

M3 - Article

SN - 0018-9286

VL - 30

SP - 1048

EP - 1050

JO - IEEE Transactions on Automatic Control

JF - IEEE Transactions on Automatic Control

IS - 10

ER -

A note on the Estimation of Variances in State Space Models using the maximum a Posteriori Procedure

Abstract

Keywords

Fingerprint

Cite this