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arXiv · 2302.14529

Maximum Likelihood With a Time Varying Parameter

Alberto Lanconelli·Christopher S. A. Lauria
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Abstract

We consider the problem of tracking an unknown time varying parameter that characterizes the probabilistic evolution of a sequence of independent observations. To this aim, we propose a stochastic gradient descent-based recursive scheme in which the log-likelihood of the observations acts as time varying gain function. We prove convergence in mean-square error in a suitable neighbourhood of the unknown time varying parameter and illustrate the details of our findings in the case where data are generated from distributions belonging to the exponential family.

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Alberto Lanconelli, Christopher S. A. Lauria. 2023-02-28. Maximum Likelihood With a Time Varying Parameter. https://arxiv.org/abs/2302.14529

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