摘要：AbstractWhen classical particle filtering algorithms are used for maximum likelihood parameter estimation in nonlinear state-space models, a key challenge is that estimates of the likelihood function and its derivatives are inherently noisy The key idea in this paper is to run a particle filter based on a current parameter estimate, but then use the output from this particle filter to re-evaluate the likelihood function approximation also for other parameter values. This results in a (local) deterministic approximation of the likelihood and any standard optimization routine can be applied to find the maximum of this approximation. By iterating this procedure we eventually arrive at a final parameter estimate.
