Maximum-likelihood identification of structurally constrained covariances for initial-condition statistics
Technical Report
·
OSTI ID:5723786
Maximum-likelihood estimation of a constrained initial condition covariance matrix is treated. The associated cross-sectional observations are generated from non-identically distributed realizations of a linear dynamic system. The covariance matrix is constrained to both band-block structure and to general positive semi-definiteness. Necessary and sufficient conditions are derived for the local optimality of the constrained covariance estimate, and an algorithm for the numerical solution of the related optimality equations is indicated. An implementation of the EM method, which is useful in initializing the algorithm, is also presented for estimation in the band-block structurally constrained case.
- Research Organization:
- Johns Hopkins Univ., Laurel, MD (USA). Applied Physics Lab.
- OSTI ID:
- 5723786
- Report Number(s):
- AD-A-207442/5/XAB
- Resource Relation:
- Other Information: Pub. in Proceedings of the American Control Conference, 1242-1248(20 Jun 1988)
- Country of Publication:
- United States
- Language:
- English
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