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UCL
Parameter Estimation for Linear Dynamical Systems
Zoubin Ghahramani and Geoffrey E. Hinton
Department of Computer Science
University of TorontoTechnical Report CRG-TR-92-2
Abstract
Linear systems have been used extensively in engineering to model and control the behaviour of dynamical systems. In this note, we present the Expectation Maximization (EM) algorithm for estimating the parameters of linear systems (Shumway and Stoffer, 1982). We also point out the relationship between linear dynamical systems, factor analysis, and hidden Markov models