메뉴 건너뛰기




Volumn 21, Issue 4, 1996, Pages 431-447

An EM algorithm for estimation in Markov-modulated Poisson processes

Author keywords

EM algorithm; Markov modulated Poisson process; Maximum likelihood estimate

Indexed keywords

EM ALGORITHM; MARKOV-MODULATED POISSON PROCESS; MAXIMUM LIKELIHOOD ESTIMATE;

EID: 0029730756     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-9473(95)00025-9     Document Type: Article
Times cited : (152)

References (27)
  • 1
    • 0002774646 scopus 로고
    • Fitting phase-type distributions via the EM algorithm
    • K. Vest Nielsen, (Ed.), Copenhagen, UNI-C
    • Asmussen S. and O. Nerman, Fitting phase-type distributions via the EM algorithm, in: K. Vest Nielsen, (Ed.), Symposium i Anvendt Statistik (Copenhagen, 1991, UNI-C) 335-346.
    • (1991) Symposium i Anvendt Statistik , pp. 335-346
    • Asmussen, S.1    Nerman, O.2
  • 2
    • 0001862769 scopus 로고
    • An inequality and associated maximization technique in statistical estimation for probabilistic functions of Markov processes
    • Shisha and Oven (Ed.), Academic Press, New York
    • Baum, L.E., An inequality and associated maximization technique in statistical estimation for probabilistic functions of Markov processes, in: Shisha and Oven (Ed.), Inequalities, III: Proc. Symp. (Academic Press, New York, 1972) p. 1-8.
    • (1972) Inequalities, III: Proc. Symp. , pp. 1-8
    • Baum, L.E.1
  • 3
    • 84965063004 scopus 로고
    • An inequality with applications to statistical estimation for probabilistic functions of Markov processes and to a model for ecology
    • Baum, L.E. and J.A. Eagon, An inequality with applications to statistical estimation for probabilistic functions of Markov processes and to a model for ecology. Bull. Amer. Math. Soc., 73 (1967) 360-363
    • (1967) Bull. Amer. Math. Soc. , vol.73 , pp. 360-363
    • Baum, L.E.1    Eagon, J.A.2
  • 4
    • 0000353178 scopus 로고
    • A maximization technique occurring in the statistical analysis of probabilistic functions of Markov chains
    • Baum, L.E, T. Petrie, G. Soules and N. Weiss, A maximization technique occurring in the statistical analysis of probabilistic functions of Markov chains, Ann. Math. Statist., 41 (1970) 164-171
    • (1970) Ann. Math. Statist. , vol.41 , pp. 164-171
    • Baum, L.E.1    Petrie, T.2    Soules, G.3    Weiss, N.4
  • 6
    • 0043008622 scopus 로고
    • A stochastic model for times of exposures to air pollution from a point source
    • V. Barnett and K.F. Turkman (Ed.), Wiley, New York
    • Davison, A.C. and N.I. Ramesh, A stochastic model for times of exposures to air pollution from a point source, in: V. Barnett and K.F. Turkman (Ed.), Statistics for the environment (Wiley, New York, 1993).
    • (1993) Statistics for the Environment
    • Davison, A.C.1    Ramesh, N.I.2
  • 7
    • 0002629270 scopus 로고
    • Maximum likelihood from incomplete data via the EM algorithm
    • Dempster, A.P., N.M. Laird and D.B. Rubin, Maximum likelihood from incomplete data via the EM algorithm, J. Roy. Statist. Soc., 39 (1977) 1-22.
    • (1977) J. Roy. Statist. Soc. , vol.39 , pp. 1-22
    • Dempster, A.P.1    Laird, N.M.2    Rubin, D.B.3
  • 8
    • 0006657165 scopus 로고
    • Parameter estimation for Markov modulated Poisson processes via the EM algorithm with time discretization
    • Deng, L. and J.W. Mark, Parameter estimation for Markov modulated Poisson processes via the EM algorithm with time discretization, Telecomm. Syst., 1 (1993) 321-338.
    • (1993) Telecomm. Syst. , vol.1 , pp. 321-338
    • Deng, L.1    Mark, J.W.2
  • 9
    • 33749044955 scopus 로고
    • The Markov-modulated Poisson process (MMPP) cookbook
    • Fischer, W. and K. Meier-Hellstern, The Markov-modulated Poisson process (MMPP) cookbook, Perf. Eval., 18 (1993) 149-171.
    • (1993) Perf. Eval. , vol.18 , pp. 149-171
    • Fischer, W.1    Meier-Hellstern, K.2
  • 10
    • 0026733479 scopus 로고
    • Maximum likelihood estimation and identification directly from single-channel recordings
    • Fredkin, D.R. and J.A. Rice, Maximum likelihood estimation and identification directly from single-channel recordings. Proc. Roy. Soc. Lond. B, 249 (1992) 125-132.
    • (1992) Proc. Roy. Soc. Lond. B , vol.249 , pp. 125-132
    • Fredkin, D.R.1    Rice, J.A.2
  • 11
    • 0026106462 scopus 로고
    • Characterizing the variability of arrival processes with indexes of dispersion
    • Gusella, R., Characterizing the variability of arrival processes with indexes of dispersion, IEEE J. Select. Areas Commun., 9 (1991) 203-211.
    • (1991) IEEE J. Select. Areas Commun. , vol.9 , pp. 203-211
    • Gusella, R.1
  • 12
    • 0022776078 scopus 로고
    • A Markov modulated characterization of packetized voice and data traffic and related statistical multiplexer performance
    • Heffes, H. and D. Lucantoni, A Markov modulated characterization of packetized voice and data traffic and related statistical multiplexer performance, IEEE J. Select. Areas Commun., 4 (1986) 856-867.
    • (1986) IEEE J. Select. Areas Commun. , vol.4 , pp. 856-867
    • Heffes, H.1    Lucantoni, D.2
  • 13
    • 85029992524 scopus 로고    scopus 로고
    • Recursive estimation of parameters in Markov modulated Poisson processes, to appear
    • Holst, U. and G. Lindgren, Recursive estimation of parameters in Markov modulated Poisson processes, to appear in: IEEE Trans. Comm.,
    • IEEE Trans. Comm.
    • Holst, U.1    Lindgren, G.2
  • 15
    • 0020734214 scopus 로고
    • An introduction to the application of the theory of probabilistic functions of a Markov process in automatic speech recognition
    • Levinson, S.E., L.R. Rabiner and M.M. Sondhi, An Introduction to the application of the theory of probabilistic functions of a Markov process in automatic speech recognition, Bell Syst. Tech. J., 62 (1983) 1035-1074.
    • (1983) Bell Syst. Tech. J. , vol.62 , pp. 1035-1074
    • Levinson, S.E.1    Rabiner, L.R.2    Sondhi, M.M.3
  • 16
    • 0002791428 scopus 로고
    • Markov regime models for mixed distributions and switching regressions
    • Lindgren, G., Markov regime models for mixed distributions and switching regressions. Scand. J. Statist., 5 (1978) 81-91.
    • (1978) Scand. J. Statist. , vol.5 , pp. 81-91
    • Lindgren, G.1
  • 17
    • 0001044972 scopus 로고
    • Finding the observed information matrix when using the EM algorithm
    • Louis, T.A., Finding the observed information matrix when using the EM algorithm, J. Roy. Statist. Soc. B, 44 (1982) 226-233.
    • (1982) J. Roy. Statist. Soc. B , vol.44 , pp. 226-233
    • Louis, T.A.1
  • 19
    • 0023366201 scopus 로고
    • A fitting algorithm for Markov-modulated poisson processes having two arrival rates
    • Meier-Hellstern, K.S., A fitting algorithm for Markov-modulated Poisson processes having two arrival rates, European J. Oper. Res., 29 (1987) 370-377.
    • (1987) European J. Oper. Res. , vol.29 , pp. 370-377
    • Meier-Hellstern, K.S.1
  • 20
    • 0001232538 scopus 로고
    • A fast improvement to the EM algorithm on its own terms
    • Meilijson, I., A fast improvement to the EM algorithm on its own terms, J. Roy. Statist. Soc. B, 51 (1989) 127-138.
    • (1989) J. Roy. Statist. Soc. B , vol.51 , pp. 127-138
    • Meilijson, I.1
  • 25
    • 0001455583 scopus 로고
    • Parameter estimation for Markov modulated poisson processes
    • Rydén, T., Parameter estimation for Markov modulated Poisson processes, Stochastic Models 10 (1994) 795-829.
    • (1994) Stochastic Models , vol.10 , pp. 795-829
    • Rydén, T.1
  • 26
    • 0030519097 scopus 로고    scopus 로고
    • On identifiability and order of continuous-time aggregated Markov chains, Markov modulated Poisson processes, and phase-type distributions
    • to appear
    • Rydén, T., On identifiability and order of continuous-time aggregated Markov chains, Markov modulated Poisson processes, and phase-type distributions, to appear in J. Appl. Prob., 33 (1996)
    • (1996) J. Appl. Prob. , vol.33
    • Rydén, T.1
  • 27
    • 84950457582 scopus 로고
    • An iterative method for solution of the likelihood equations for incomplete data from exponential families
    • Sundberg, R., An iterative method for solution of the likelihood equations for incomplete data from exponential families, Comm. Statist. Simulation Comput., 5 (1976) 55-64.
    • (1976) Comm. Statist. Simulation Comput. , vol.5 , pp. 55-64
    • Sundberg, R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.