# Sebastien Blais

### Site Tools

• Package for computing the maximum-likelihood parameter estimate for linear state-space models. A structural parameter-expanded EM algorithm is used for computing one element of the parameter set estimate, which is mapped to the unique point estimate in a normalized parameter space. Many popular normalizations (parameterizations) are supported. The algorithm implements a square-root Kalman filter. Overall, the SPX-EM algorithm is more robust and converges much faster than a standard EM algorithm. lssmspxem.zip