EMLI: Computationally Efficient Maximum Likelihood Identification of Linear Dynamical Systems

Provides implementations of computationally efficient maximum likelihood parameter estimation algorithms for models that represent linear dynamical systems. Currently, one such algorithm is implemented for the one-dimensional cumulative structural equation model with shock-error output measurement equation and assumptions of normality and independence. The corresponding scientific paper is yet to be published, therefore the relevant reference will be provided later.

Getting started

Package details

AuthorVytautas Dulskis [cre, aut], Leonidas Sakalauskas [aut]
MaintainerVytautas Dulskis <vytautas.dulskis@gmail.com>
Package repositoryView on CRAN
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EMLI documentation built on Nov. 21, 2022, 1:06 a.m.