Abstract
Maximum likelihood estimation of parameters in continuous-time stochastic linear dynamical systems has recently been shown to be consistent under certain sufficient conditions. The purpose of this note is to prove that these estimates are asymptotically efficient.
Original language | English |
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Pages (from-to) | 169-176 |
Journal | SIAM journal on control and optimization |
Volume | 19 |
Issue number | 2 |
DOIs | |
Publication status | Published - 1981 |