A novel parameterization of state-transition distributions enables maximum-likelihood and score-matching estimators for joint recovery of linear dynamics and noise covariance that outperform ordinary least squares.
Fletcher, Practical Methods of Optimization, John Wiley & Sons
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Joint Identification of Linear Dynamics and Noise Covariance via Distributional Estimation
A novel parameterization of state-transition distributions enables maximum-likelihood and score-matching estimators for joint recovery of linear dynamics and noise covariance that outperform ordinary least squares.