多变量非线性贝叶斯动态模型的参数估计

ESTIMATION OF UNKNOWN PARAMETERS IN MULTIVARIATE NONLINEAR BAYESIAN DYNAMIC MODELS

本文讨论多变量非线性贝叶斯动态模型参数估计 ,将 Monte Carlo最优法用于极大似然函数 。

In this paper, we estimated the unknown parameters and the state variables which are included in multivariate nonlinear Bayesian dynamic models. Monte Carlo optimization procedure is adopted for maximization of the likelihood founction to obtain precise estimates of the unknown parameters and the state variables simultaneously.