IEEE Transactions on Automatic Control, Vol.39, No.3, 662-664, 1994
Analytic 1st and 2nd Derivatives for the Recursive Prediction Error Algorithms Log Likelihood Function
This note improves on a method for computing analytic derivatives of the likelihood function of a discrete, linear, time invariant Gaussian state-space system and extends it to handle correlation between the state transition and measurement noise terms and to compute the analytic Hessian matrix.