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Title: Maximum-likelihood identification of structurally constrained covariances for initial-condition statistics

Abstract

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.

Authors:
Publication Date:
Research Org.:
Johns Hopkins Univ., Laurel, MD (USA). Applied Physics Lab.
OSTI Identifier:
5723786
Report Number(s):
AD-A-207442/5/XAB
Resource Type:
Technical Report
Resource Relation:
Other Information: Pub. in Proceedings of the American Control Conference, 1242-1248(20 Jun 1988)
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; DATA COVARIANCES; MAXIMUM-LIKELIHOOD FIT; STATISTICS; ALGORITHMS; CROSS SECTIONS; DYNAMICS; EQUATIONS; NUMERICAL ANALYSIS; MATHEMATICAL LOGIC; MATHEMATICS; MECHANICS; NUMERICAL SOLUTION; 657000* - Theoretical & Mathematical Physics

Citation Formats

Smith, R H. Maximum-likelihood identification of structurally constrained covariances for initial-condition statistics. United States: N. p., 1986. Web.
Smith, R H. Maximum-likelihood identification of structurally constrained covariances for initial-condition statistics. United States.
Smith, R H. 1986. "Maximum-likelihood identification of structurally constrained covariances for initial-condition statistics". United States.
@article{osti_5723786,
title = {Maximum-likelihood identification of structurally constrained covariances for initial-condition statistics},
author = {Smith, R H},
abstractNote = {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.},
doi = {},
url = {https://www.osti.gov/biblio/5723786}, journal = {},
number = ,
volume = ,
place = {United States},
year = {Fri Jun 20 00:00:00 EDT 1986},
month = {Fri Jun 20 00:00:00 EDT 1986}
}

Technical Report:
Other availability
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