Parameter estimation

This attached package contains the MATLAB codes of the online/offline EM estimator (/implemented by bootstrap SIR filter) for change-detection models and the real data set, the details can be found in the following paper. These codes can serve as a benckmark realization for change-detection/parameter estimation problems as far as I see (but just possibly be a bit computationally expensive).

Sinan Yıldırım1, Sumeetpal S. Singh, and Arnaud Doucet, An Online Expectation-Maximization Algorithm for Changepoint Models", J. Comp. Graph. Statist., vol. 22, no. 4, pp. 906-926, 2013.

On the system identification and estimation, Fredrik Lindsten 's work is also very interesting and attractive, which include PMCMC, conditional particle filter stochastic approximation EM and particle smoothing EM.