New Zealand Statistical Association 2024 Conference

Budhi Arta Surya

Victoria University of Wellington

Maximum likelihood recursive state estimation

In this talk I will present a novel statistical method for estimating a stochastic system from possibly nonlinear, noisy observations. Some distributional identities are developed for derivation of the recursive estimator and for the valuation of estimated standard errors. A series of simulation studies are performed to exemplify the results and to show the accuracy of the estimator.